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Paper Information

Title: 

LEXICOGRAPHIC GOAL PROGRAMMING APPROACH FOR PORTFOLIO OPTIMIZATION

Type: PAPER
Author(s): JAFARI AZIZOLLAH,JAFARIAN MEHDI,HOSEINI NEZHAD S. JAVAD
 
 
 
Name of Seminar: INTERNATIONAL CONFERENCE OF IRANIAN OPERATIONS RESEARCH SOCIETY
Type of Seminar:  CONFERENCE
Sponsor:  OPERATIONS RESEARCH SOCIETY
Date:  2008Volume 1
 
 
Abstract: 

THE MEAN VARIANCE MODEL OF PORTFOLIO OPTIMIZATION THAT WAS INTRODUCED BY MARKOWITZ INCLUDES TWO CONFLICTED OBJECTIVE FUNCTIONS. THESE TWO CRITERIA, RISK AND RETURN DOES NOT ENCOMPASS ALL OF THE INFORMATION ABOUT INVESTMENT. INFORMATION LIKE LIQUIDITY, ANNUAL DIVIDENDS AND PERFORMANCE IN LATER YEARS. MATTHIAS EHRGOTT [10] SPLIT THE GLOBAL UTILITY SOME WHAT SIMILAR TO THE ONE FOLLOWS.

 
Keyword(s): 
 
 
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