Robust, extended goal programming with uncertainty sets: an application to a multi-objective portfolio selection problem leveraging DEA
Naeem Mohseny-Tonekabony,
Seyed Jafar Sadjadi,
Emran Mohammadi
et al.
Abstract:This study presents a two-phase approach of Data Envelopment Analysis (DEA) and Goal Programming (GP) for portfolio selection, representing a pioneering attempt at combining these techniques within the context of portfolio selection. The approach expands on the conventional risk and return framework by incorporating additional financial factors and addressing data uncertainty, which allows for a thorough examination of portfolio outcomes while accommodating investor preferences and conservatism levels. The ini… Show more
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