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Goal programming for financial portfolio management: a state-of-the-art review

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Abstract

Over the last decades, the Goal Programming (GP) model has been applied to financial portfolio management and/or selection problem in decision-making contexts where several conflicting and incommensurable objectives are simultaneously aggregated. The aim of this paper is to identify the research trends and publication outlets for the application of GP model to portfolio management. We point out an increasing interest and affirmation of more sophisticated models. We present a characterization of the existing GP variants and provide historical data and statistical analysis.

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Notes

  1. The first MOPGP conference was held at the University of Portsmouth, United Kingdom, June, 1994.

  2. The environment concern includes climate change and clean technologies or pollution. Under the social concerns we can look at human rights and labor relations for instance. Ethical or governance concerns relate to board issues. Popular negative screens refer to the sin screens (production of alcohol, tobacco or gambling products) or military weapons, just to mention a few.

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Author information

Authors and Affiliations

  1. Graduate School of Business, Nazarbayev University, 53 Kabanbay batyr ave., Block C3, Astana, 010000, Kazakhstan

    Cinzia Colapinto

  2. Department of Management, Ca’ Foscari University of Venice, Cannaregio, 873, Fondamenta San Giobbe, 30121, Venice, Italy

    Cinzia Colapinto

  3. Department of Economics, Management, and Quantitative Methods, University of Milan, 20122, Milan, Italy

    Davide La Torre

  4. Department of Mathematics, Nazarbayev University, Astana, 010000, Kazakhstan

    Davide La Torre

  5. College of Business and Economics, Qatar University, 2713, Doha, Qatar

    Belaid Aouni

Authors
  1. Cinzia Colapinto
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  2. Davide La Torre
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  3. Belaid Aouni
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Corresponding author

Correspondence to Cinzia Colapinto.

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Colapinto, C., La Torre, D. & Aouni, B. Goal programming for financial portfolio management: a state-of-the-art review. Oper Res Int J 19, 717–736 (2019). https://doi.org/10.1007/s12351-017-0337-2

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