Mean-Variance stochastic goal programming for sustainable mutual funds' portfolio selection.

Mean-Variance stochastic goal programming for sustainable mutual funds' portfolio selection.

Mean-Variance Stochastic Goal Programming models (MV-SGP) provide satisficing investment solutions in uncertain contexts. In this work, an MV-SGP model is proposed for portfolio selection which includes goals with regards to traditional and sustainable assets. The proposed approach is based on a two...

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Bibliographic Details
Main Authors: García-Bernabeu, Ana, Pla, David, Bravo, Mila, Pérez-Gladish, Blanca
Format: Article
Language:English
Published: ASEPUMA. Asociación Española de Profesores Universitarios de Matemáticas aplicadas a la Economía y a la Empresa 2015-11-01
Series:Rect@
Subjects:
Mean-Variance portfolio selection model
TOPSIS; Stochastic Goal Programming; Expected Utility Theory; ARA coefficients; Mutual Funds
TOPSIS
Stochastic Goal Programming
Expected Utility Theory; ARA coefficients
Expected Utility Theory
ARA coefficients
Mutual Funds
Online Access:http://urls.my/oBzqmE

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http://urls.my/oBzqmE

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