Portfolio Selection from Multiple Benchmarks: A Goal Programming Approach to an Actual Case

Volume: 17, Pages: 155 - 166
Published: Sep 1, 2010
Abstract
This paper deals with benchmark-based portfolio choice for buy-and-hold strategies of investing. Multiple benchmarks for returns are considered, which is more realistic than taking a unique benchmark – a unique aspiration difficult to select in practice among the various aspirations for returns that the investor has in mind. Portfolio selection with multiple benchmarks leads to a multi-objective problem, which is addressed by mean value –...
Paper Details
Title
Portfolio Selection from Multiple Benchmarks: A Goal Programming Approach to an Actual Case
Published Date
Sep 1, 2010
Volume
17
Pages
155 - 166
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