On selecting portfolio of international mutual funds using goal programming with extended factors

This paper proposes and examines the use of several stock‐related factors, called extended factors, for portfolio selection. These factors, including the traditional factors of risk and return, are represented as objectives in weighted goal programming (WGP) models. Several WGP models with passive and active target values and various weights for their unwanted deviational variables in their achievement functions have been developed. The weights and target values of the extended factors represent decision makers’ utility toward their portfolio. The resulting portfolios for the proposed models are compared against each other as well as against the Dow Jones Industrial Average index and portfolios obtained from the well‐established Markowitz and Konno and Yamazaki's models. The experimental results strongly support the use of extended factors for portfolio selection problems and the assumption of meeting decision maker's preferences and utilities better than the portfolios based entirely on risk and return.

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“…The work reported here can be viewed as an extension of Tamiz et al. () to stock portfolio selection with equally favorable outcomes.…”

Section: Introductionmentioning

confidence: 87%

“…Tamiz et al. () carried out a similar study on selecting portfolios of international mutual funds using various GP models and extended factors specific to mutual funds and international economies. The work reported here can be viewed as an extension of Tamiz et al.…”

Section: Introductionmentioning

confidence: 99%

Goal programming with extended factors for portfolio selection

Tamiz

Azmi

2017

Int Trans Operational Res

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“…Among them, the most widely used is Goal Programming (Abdelaziz et al 2007;Ballestero et al 2012;Bilbao-Terol et al 2013;Davies et al 2009;Inuiguchi and Ramık 2000;Pendaraki et al 2004;Prakash et al 2003;Sharma et al 2006;Tamiz et al 2013) are some recent examples. From year 2000 a wide range of literature on MCDM approaches to portfolio choice and related issues is available.…”

Section: Mcdm and Portfolio Selectionmentioning

confidence: 99%

The Ethical Financial Question and the MCDM Framework

Ballestero

Pérez-Gladish

Garcı́a-Bernabeu

2014

International Series in Operations Research &Amp; Management Science

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This chapter explains the financial meaning and importance of Socially Responsible Investment (SRI), also called ethical investment. Currently, SRI is a private initiative to invest increasing flows of financial resources in environmentally and socially sustainable activities and to invest nothing in anti-ethical projects. Main SRI agents are banks and institutional investors who are engaged in policies such as sustainable consumption of energy and natural resources, ecosystem protection, advanced medical projects, technological research, education of young entrepreneurs, anti-tobacco campaigns, safety and healthcare in the workplace, and others. These agents think that traditional financial criteria such as profitability and risk should be combined with SRI criteria to select stock portfolios. In SRI, Multiple Criteria Decision Making (MCDM) approaches seem to be helpful as several criteria, not only financial but also environmental, social or governance concerns are taken into account. Regarding MCDM, a brief overview is included in this chapter to introduce this methodology into SRI decision problems.

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“…Thus, it is evident that the performance of funds cannot be solely described by the asset selection and market timing abilities of their managers, as an investor would also take into consideration other micro and macro factors that are relevant to his/her investment policy and the conditions of the investment environment. Of course, except for the fund evaluation measures, portfolios of funds can also be considered in a setting similar to PM as illustrated in several studies (see, for instance, Davies et al 2009;Tamiz et al 2013). …”

mentioning

confidence: 99%

“…Facilitating an investor's decision, however, requires the consideration of additional criteria. For instance Babalos et al (2012) considered expenses and front-end loads in combination with risk-return criteria and traditional measures of fund performance, whereas Tamiz et al (2013) further used macroeconomic and country-specific criteria. On the other hand, Ballestero et al (2012) and Pérez-Gladish and M'Zali (2010) introduced criteria related to social responsibility, which is an issue that has gained much interest recently among researchers and professionals.…”

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confidence: 99%

Rejoinder on: Multicriteria decision systems for financial problems

Zopounidis

Doumpos

2013

TOP

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We are truly grateful to the colleagues who prepared their insightful comments on our paper. We should also express our gratitude to the editor-in-chief of TOP, Professor Jesús Artalejo, who invited us to contribute to the journal and handled the collection of the discussions in a very professional and timely manner.All discussants have extensive research expertise with major contributions in both the theory of MCDA and its applications in finance. We feel confident that the readers of TOP will appreciate theses discussions, which highlight particular aspects of the contributions of multicriteria decision systems in finance, add new perspectives on the past and recent advances in this area, and raise important issues for future research. In this rejoinder, we shall briefly elaborate on these discussions and the alternative points of view introduced by the colleagues.The first point that is immediately evident is that portfolio management (PM) serves as the main basis for most of the discussants' comments. This should not be a surprise, as PM is a multifaceted problem whose implications extend to many other financial domains, such as asset-liability management, financial planning, investment analysis, and credit portfolio management. As we elaborated in our review, and it This rejoinder refers to the comments available at

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On selecting portfolio of international mutual funds using goal programming with extended factors

Cited by 21 publications

References 16 publications

Goal programming with extended factors for portfolio selection

Goal programming with extended factors for portfolio selection

The Ethical Financial Question and the MCDM Framework

Rejoinder on: Multicriteria decision systems for financial problems

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