A Review of Goal Programming for Portfolio Selection

Azmi, Rania A.; Tamiz, Mehrdad

doi:10.1007/978-3-642-10354-4_2

Cited by 27 publications

(9 citation statements)

References 67 publications

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“…Karimiazari, et al proposed in 2011 an extended version of the Technique for Order Preference by Similarity to an Ideal Solution (TOPSIS), which resolves the multi-criteria risk assessment model under a fuzzy environment [12].…”

Section: Fuzzy Logicmentioning

confidence: 43%

DEVELOPING OF DECISION SUPPORT SYSTEM FOR BUDGET ALLOCATION OF AN R&D ORGANIZATION

Mohan¹

2014

IJRET

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Section: Fuzzy Logicmentioning

confidence: 43%

DEVELOPING OF DECISION SUPPORT SYSTEM FOR BUDGET ALLOCATION OF AN R&D ORGANIZATION

Mohan¹

2014

IJRET

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“…Karakterisasi sistem dilakukan untuk memberikan gambaran dari model yang akan dikembangkan, berisi entitas-entitas yang terkait, interaksi antar entitas, serta dapat menggambarkan urutan suatu proses. Sistem yang dikaji pada penelitian terdiri dari 2 entitas utama yaitu penjual yang merupakan petani/poktan/gapoktan dari Kabupaten Magetan serta Pemerintahan Kabupaten Damona et al (2013), serta Azmi (2010;2013).…”

Section: Karakterisasi Sistem Pasar Lelangunclassified

Model Alokasi Dana Pemerintah Daerah Untuk Fasilitasi Pelaksanaan Pasar Lelang Komoditas Forward: Studi Kasus

Sutopo¹,

Pratiwi²,

Hisjam³

2018

j.tek.ind.pert

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Magetan district at East Java is one of local government that support their farmer to participate in forward auction market in order to expand its marketing network. The implementation of the commodity auction market is divided into three main processes, i.e. pre-auction, auction, and post-auction. Problem mapping was done by spreading questionnaires on 37 respondents, interviews in related government officer, and benchmarking on commodity auction organizers. There are many problems faced by farmer and forward auction market organizer. Government that have the role of facilitator and catalyst need to carry out such some improvement activities to increase the efficiency of the commodity distribution. However, the local government need a tool to determine fundal location for facilitating farmer and actionorganizer. In this study, we solvedtheproblem with approaches: the initialidentification, mappingproblems; the hypothesis of suggestion of improvement; model development; and finally makes verification and validation using expert justification. This article aimed to formulate alternative solutions to overcome problems in the implementation of the auction market and formulate a model of government fund allocation. Goal programming was developed to solve problems with multiobjective functions. The model used four performance criteria, i.e.risk level, incentive value given by government, benefit value, andfarmer level skill. The results showedthat the model was able to provide optimal fund allocation by minimizing the level of risk and incentive value and maximizing the value of the benefits and skills of farmers. ABSTRAKKabupaten Magetan di Jawa Timur adalah salah satu pemerintah daerah yang mendukung petani mereka untuk berpartisipasi dalam pasar lelang komoditas forward untuk memperluas jaringan pemasarannya. Pelaksanaan pasar lelang komoditas dibagi menjadi tiga proses utama, pra-lelang, lelang dan pasca lelang. Pemetaan masalah dilakukan dengan menyebarkan kuesioner pada 37 responden, wawancara dengan pejabat pemerintah terkait, dan benchmarking pada penyelenggara lelang komoditas. Ada banyak masalah yang dihadapi oleh petani dan pengelola pasar lelang, yakni Pemerintah yang memiliki peran fasilitator dan katalisator perlu melakukan beberapa kegiatan perbaikan untuk meningkatkan efisiensi distribusi komoditas. Namun, pemerintah daerah membutuhkan alat untuk menentukan alokasi dana untuk memfasilitasi petani dan pengelola tindakan. Dalam penelitian ini, kami memecahkan masalah dengan pendekatan: identifikasi awal, masalah pemetaan; hipotesis saran perbaikan; pengembangan model; dan akhirnya melakukan verifikasi dan validasi menggunakan justifikasi ahli. Artikel ini bertujuan untuk merumuskan alternatif solusi untuk mengatasi masalah dalam pelaksanaan pasar lelang dan merumuskan model alokasi dana pemerintah. Pemrograman tujuan dikembangkan untuk memecahkan masalah dengan fungsi multi obyektif. Model ini menggunakan empat kriteria kinerja, yaitu tingkat risiko, nilai insentif yang diberikan oleh pemerintah, nilai ...

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“…This model has been introduced by Charnes et al (1955) and more explicitly defined by Charnes and Cooper (1961). Azmi and Tamiz (2010) present a review of the application of GP and its variants to portfolio analysis. 3 Steuer and Na (2003) find that GP is the most frequently used multicriteria decision making technique in finance, with application in portfolio analysis, capital budgeting, financial planning and commercial bank management.…”

Section: Literature Review For Gp Modelmentioning

confidence: 99%

A combined analytic hierarchy process and goal programming approach to international portfolio selection in the presence of investment barriers

Bahloul

Abid

2013

IJMCDM

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The aim of this paper is to develop an integrated multiple criteria decision making approach combining the analytic hierarchy process (AHP) and the goal programming (GP) model to study the impact of a mixture of investment barriers on international portfolio selection, and therefore the home bias puzzle from the viewpoint of G-7 investors over the period 2001-2009. The AHP is used to determine the suitable international equity portfolios with respect to seven barriers to international investment. The GP model, incorporating the market weights of the maximum return, minimal variance, and AHP portfolios is formulated to determine the optimal international equity portfolios. The main results show that the AHP-GP optimal international portfolio weights are different from those predicted by the I-CAPM. Also, except for French and US investors, home bias values determined according to the AHP-GP portfolios are lower than those calculated on the basis of the value-weighted world market portfolio.Keywords: multicriteria decision making; analytic hierarchy process; goal programming; suitable/optimal international equity portfolio; barriers to international investment; home bias.Reference to this paper should be made as follows: Bahloul, S. and Abid, F. (2013) 'A combined analytic hierarchy process and goal programming approach to international portfolio selection in the presence of investment barriers', Int.

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A Review of Goal Programming for Portfolio Selection

Cited by 27 publications

References 67 publications

DEVELOPING OF DECISION SUPPORT SYSTEM FOR BUDGET ALLOCATION OF AN R&D ORGANIZATION

DEVELOPING OF DECISION SUPPORT SYSTEM FOR BUDGET ALLOCATION OF AN R&D ORGANIZATION

Model Alokasi Dana Pemerintah Daerah Untuk Fasilitasi Pelaksanaan Pasar Lelang Komoditas Forward: Studi Kasus

A combined analytic hierarchy process and goal programming approach to international portfolio selection in the presence of investment barriers

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