search query: @author Powell, J. / total: 4
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| Author: | Powell, J. Premachandra, I. |
| Title: | Accommodating diverse institutional investment objectives and constraints using non-linear goal programming |
| Journal: | European Journal of Operational Research
1998 : MAR 16, VOL. 105:3, p. 447-456 |
| Index terms: | OPERATIONAL RESEARCH DIVERSITY INVESTMENT |
| Language: | eng |
| Abstract: | Institutional portfolio managers face a diverse mix of conflicting investment objectives and constraints such as risk and return goals, institutional liability considerations, fund management legal restrictions, institutional cash flow requirements, and portfolio management performance targets. This paper argues that lexicographic goal programming can be used to keep track of an institution's complex investment goals and will provide a best possible solution for the institution's portfolio selection problem. |
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