What is it about?
We propose a stochastic goal programming approach to generate a satisfying portfolio for the United Arab Emirates (UAE) equity market.
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Why is it important?
Compared to traditional return and risk objectives/goals, we considered multiple goals in the study: capital preservation (total returns), current income, and risk.
Perspectives
Our model results outperformed the traditional Markowitz model covering all the multiple criteria to evidence the superiority of stochastic goal programming for portfolio optimization.
Dr Ananth Rao
University of Dubai
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This page is a summary of: A Discrete Stochastic Goal Program for Portfolio Selection: The Case of United Arab Emirates Equity Market, INFOR Information Systems and Operational Research, February 2009, Taylor & Francis,
DOI: 10.3138/infor.47.1.5.
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