Investment Portfolio Selection Using Goal Programming

An Approach to Making Investment Decisions
1. Auflage 2013
ISBN: 978-1-4438-4653-0
Verlag: Cambridge Scholars Publishing

Buch, Englisch, 180 Seiten

This book provides both practitioners and academics with a scientific approach to portfolio selection using Goal Programming, an approach which is capable as far as is possible of achieving a required set of preferences deemed appropriate by a decision maker. Goal Programming is perhaps the most widely-used approach in the field of multiple criteria decision-making that enables the decision maker to incorporate numerous variations of constraints and goals. The original portfolio selection problem, with risk and return optimisation, can be viewed as a case of Goal Programming with two objectives. Additional objectives representing other factors, such as liquidity, can be introduced for a more realistic approach to portfolio selection problems.

This book comes in a time where scientific frameworks for investment decision-making are absolutely necessary, that is after the recent financial and economic crisis; where irrational decisions and a misuse of mathematical models had equally fed into the spiral of the financial crisis. The real-world decision problems are usually changeable, complex and resist treatment with conventional approaches. Therefore, the optimisation of a single objective subject to a set of rigid constraints is in most cases unrealistic, and that is why Goal Programming was introduced, in an attempt to eliminate or at least mitigate this shortcoming. Most mathematical models are based on very strong theoretical assumptions which are not entirely respected by markets in practice. In contrast, Goal Programming models are based on real-world cases where the most feasible solution is sought as opposed to an ideal simplified solution.

Therefore, this book provides practitioners with a new and superior scientific framework for investment decision-making, while aiming to stimulate further research and development. Moreover, the book provides scientific approaches for portfolio selection with Goal Programming, which will provide added value for practitioners in complementing their financial expertise with a sound scientific decision-making framework.

Autoren/Hrsg.

Azmi, Rania Ahmed

Fachgebiete

• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Anlagen & Wertpapiere

Über Autor(innen)

Azmi, Rania Ahmed
After working for her father’s family office while also teaching at her alma mater, the University of Alexandria, after coming top of her class in Business Administration with a specialism in Finance, Dr. Rania Ahmed Azmi was noticed by organisations including the International Finance Corporation, which certified her to train small and medium-sized businesses on finance and investment, and the United Nations Industrial Development Organization. From here, she followed in the footsteps of Margaret Thatcher and Tony Blair in the IV Leadership Programme, which took her all over the world. She received her PhD in Financial Mathematics and she was featured in the 40 under 40 asset owners in the aiCIO magazine in 2013. She was also a keynote speaker at the CERN laboratories pension risk and investment summit last year. When not advising on investment, Azmi is a keen activist for women’s position in business, politics, and society, where she has spoken for the World Bank in gender and economics and soon after was awarded the Google Prize for “Most Interesting and Creative Work” and was designated a Woman of Influence globally by the Women Speakers Association.

After working for her father’s family office while also teaching at her alma mater, the University of Alexandria, after coming top of her class in Business Administration with a specialism in Finance, Dr. Rania Ahmed Azmi was noticed by organisations including the International Finance Corporation, which certified her to train small and medium-sized businesses on finance and investment, and the United Nations Industrial Development Organization. From here, she followed in the footsteps of Margaret Thatcher and Tony Blair in the IV Leadership Programme, which took her all over the world. She received her PhD in Financial Mathematics and she was featured in the 40 under 40 asset owners in the aiCIO magazine in 2013. She was also a keynote speaker at the CERN laboratories pension risk and investment summit last year. When not advising on investment, Azmi is a keen activist for women’s position in business, politics, and society, where she has spoken for the World Bank in gender and economics and soon after was awarded the Google Prize for “Most Interesting and Creative Work” and was designated a Woman of Influence globally by the Women Speakers Association.