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Robust goal programming for multi-objective portfolio selection problem

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  • Ghahtarani, Alireza
  • Najafi, Amir Abbas

Abstract

This paper proposes a robust optimization model for the portfolio selection problem that uses a goal programming (GP) approach. In GP, decision makers can achieve more than one objective function. Some uncertain coefficients exist in both single and multi-objective models of the portfolio selection problem, which affects the feasibility and optimality of solutions. Robust optimization is an approach that deals with the uncertainty parameters in mathematical models, and guarantees the feasibility of the solutions. This paper tries to address the uncertainty parameters with robust optimization approach. This paper presents GP for the portfolio selection problem and addresses the uncertainty of the parameters by use of robust optimization approach. The approach is illustrated by a numerical example.

Suggested Citation

  • Ghahtarani, Alireza & Najafi, Amir Abbas, 2013. "Robust goal programming for multi-objective portfolio selection problem," Economic Modelling, Elsevier, vol. 33(C), pages 588-592.
    • Handle: RePEc:eee:ecmode:v:33:y:2013:i:c:p:588-592
    DOI: 10.1016/j.econmod.2013.05.006
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    2. Jones, D.F. & Treloar, R. & Ouelhadj, D. & Glampedakis, A. & Bartmeyer, P., 2024. "Incorporation of poverty principles into goal programming," Omega, Elsevier, vol. 127(C).
    3. Najafi, Amir Abbas & Pourahmadi, Zahra, 2016. "An efficient heuristic method for dynamic portfolio selection problem under transaction costs and uncertain conditions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 448(C), pages 154-162.
    4. Farshad Noravesh & Kristiaan Kerstens, 2022. "Some connections between higher moments portfolio optimization methods," Papers 2201.00205, arXiv.org.
    5. Khodamoradi, T. & Salahi, M. & Najafi, A.R., 2020. "Robust CCMV model with short selling and risk-neutral interest rate," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 547(C).
    6. Panos Xidonas & Ralph Steuer & Christis Hassapis, 2020. "Robust portfolio optimization: a categorized bibliographic review," Annals of Operations Research, Springer, vol. 292(1), pages 533-552, September.
    7. Jang Ho Kim & Yongjae Lee & Woo Chang Kim & Frank J. Fabozzi, 2022. "Goal-based investing based on multi-stage robust portfolio optimization," Annals of Operations Research, Springer, vol. 313(2), pages 1141-1158, June.
    8. Adedoyin Isola Lawal, 2014. "Tactical Assets Allocation: Evidence from the Nigerian Banking Industry," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 10(2), pages 193-204, April.
    9. Alireza Ghahtarani & Ahmed Saif & Alireza Ghasemi, 2022. "Robust portfolio selection problems: a comprehensive review," Operational Research, Springer, vol. 22(4), pages 3203-3264, September.
    10. Cinzia Colapinto & Raja Jayaraman & Simone Marsiglio, 2017. "Multi-criteria decision analysis with goal programming in engineering, management and social sciences: a state-of-the art review," Annals of Operations Research, Springer, vol. 251(1), pages 7-40, April.
    11. Lu, Hao-Chun & Tsai, Shing Chih, 2024. "Generalized robust goal programming model," European Journal of Operational Research, Elsevier, vol. 319(2), pages 638-657.
    12. Erfan Babaee Tirkolaee & Zahra Dashtian & Gerhard-Wilhelm Weber & Hana Tomaskova & Mehdi Soltani & Nasim Sadat Mousavi, 2021. "An Integrated Decision-Making Approach for Green Supplier Selection in an Agri-Food Supply Chain: Threshold of Robustness Worthiness," Mathematics, MDPI, vol. 9(11), pages 1-30, June.
    13. Nazila Aghayi & Madjid Tavana & Mohammad Ali Raayatpanah, 2016. "Robust efficiency measurement with common set of weights under varying degrees of conservatism and data uncertainty," European Journal of Industrial Engineering, Inderscience Enterprises Ltd, vol. 10(3), pages 385-405.
    14. Hosseini-Nodeh, Zohreh & Khanjani-Shiraz, Rashed & Pardalos, Panos M., 2023. "Portfolio optimization using robust mean absolute deviation model: Wasserstein metric approach," Finance Research Letters, Elsevier, vol. 54(C).
    15. Naeem Mohseny-Tonekabony & Seyed Jafar Sadjadi & Emran Mohammadi & Mehrdad Tamiz & Dylan F. Jones, 2025. "Robust, extended goal programming with uncertainty sets: an application to a multi-objective portfolio selection problem leveraging DEA," Annals of Operations Research, Springer, vol. 346(2), pages 1497-1552, March.
    16. Mardani Najafabadi, Mostafa & Magazzino, Cosimo & Valente, Donatella & Mirzaei, Abbas & Petrosillo, Irene, 2023. "A new interval meta-goal programming for sustainable planning of agricultural water-land use nexus," Ecological Modelling, Elsevier, vol. 484(C).
    17. Mila Bravo & Dylan Jones & David Pla-Santamaria & Francisco Salas-Molina, 2022. "Encompassing statistically unquantifiable randomness in goal programming: an application to portfolio selection," Operational Research, Springer, vol. 22(5), pages 5685-5706, November.
    18. Alireza Ghahtarani & Ahmed Saif & Alireza Ghasemi, 2021. "Robust Portfolio Selection Problems: A Comprehensive Review," Papers 2103.13806, arXiv.org, revised Jan 2022.
    19. Xidonas, Panos & Hassapis, Christis & Soulis, John & Samitas, Aristeidis, 2017. "Robust minimum variance portfolio optimization modelling under scenario uncertainty," Economic Modelling, Elsevier, vol. 64(C), pages 60-71.
    20. Hanks, Robert W. & Lunday, Brian J. & Weir, Jeffery D., 2020. "Robust goal programming for multi-objective optimization of data-driven problems: A use case for the United States transportation command's liner rate setting problem," Omega, Elsevier, vol. 90(C).

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