International Journal of Management and Fuzzy Systems
Volume 5, Issue 2, June 2019, Pages: 33-39
Received: May 31, 2019;
Accepted: Jul. 11, 2019;
Published: Jul. 30, 2019
Views 226 Downloads 53
Eka Swastika Alwi Putri, Department of Mathematics, University of Riau, Pekanbaru, Indonesia
Habibis Saleh, Department of Mathematics, University of Riau, Pekanbaru, Indonesia
Moh Danil Hendry Gamal, Department of Mathematics, University of Riau, Pekanbaru, Indonesia
This article discusses the optimization of portfolio stock selection using the Meta Goal Programming (MGP) model. The optimization problem of stock portfolio selection with the MGP model is solved by combining the weight of trust in each type of MGP and comparing it with the Goal Programming (GP) portfolio. The ﬁnal result is in the form of the selection of ﬁve stocks which are designated as optimal portfolios. This new MGP portfolio produces a higher return value and a lower standard MGP portfolio deviation compared to the GP portfolio.
Eka Swastika Alwi Putri,
Moh Danil Hendry Gamal,
Optimization of Portfolio Stock Selection with Meta Goal Programming, International Journal of Management and Fuzzy Systems.
Vol. 5, No. 2,
2019, pp. 33-39.
Copyright © 2019 Authors retain the copyright of this article.
This article is an open access article distributed under the Creative Commons Attribution License (http://creativecommons.org/licenses/by/4.0/
) which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
H. Babaei, M. Tootooni, K. Shahanaghi and A. Bakhsha, Lexicographic goal programming approach for portofolio optimization, Journal of Industrial Engineering International, 9 (2009), 63-75.
S. Bahloul and F. Abid, A combined analytic hierarchy process and goal programming approach to international portfolio selection in the presence of investment barriers, International Journal Multicriteria Decision Making, 3 (2013), 1-20.
L. J. Bain and M. Engelhardt, Introduction to Probability and Mathematical Statistics, Duxbury, Pasiﬁc Grove, 1992.
A. K. Bhargava, S. R. Singh and D. Bansal, Production planning using fuzzy meta goal programming model, Indian Journal of Science and Technology, 8 (2015), 34-42.
J. P. Ignizio, Introduction to Linear Goal Programming, Sage Publication, California, 1985.
D. Jones and M. Tamiz, A review of goal programming and its applications, Annals of Operations Research, 58 (1995), 39-53.
D. Jones and M. Tamiz, Practical goal programming, Springer, London, 2010.
F. Kucukbay and C. Araz, A comparison of fuzzy goal programming and linear physical programming, An International Journal of Optimization and Control, 6 (2016), 121-128.
K. D. Lawrence, D. R. Pai and S. M. Lawrence, A multi criteria meta goal programming model based in morningstar sector grouping, Applications of Management Science, 17 (2015), 19-25.
H. W. Lin, S. V. Nagalingam and G. C. I. Lin, Manufacturing decision-support using interactive meta goal programming, Australian Research, 2007, 331-341.
H. Markowitz, Portofolio selection, The Journal of Finance, 7 (1952), 77-91.
A. M. Parra, A. B. Terol and M. V. R. Uria, A fuzzy goal programming approach to portofolio selection, European Journal of Operational Research, 133 (2001), 287-297.
H. Sakhari and M. Sabuohi, Application meta goal programming in agriculture case study Neyshabour city, Journal of Agricultural Economics and Development, 26 (2012), 17.
M. V. R. Uria, R. Caballero, F. Ruiz, and C. Romero, Meta goal programming, European Journal of Operational Research, 2002, 422-429.
M. R. T. Yazdi, S. Fallahpour, dan M. A. Moghaddam, Portfolio Selection using Meta Goal Programming and Extended Lexicographic Goal Programming, ResearchGate Journal of Financial Research, 2017, 591-612.
M. R. T. Yazdi, S. Fallahpour, dan M. A. Moghaddam, Portfolio Selection using Meta Goal Programming, International Conference on Applied Research in Management and Accounting, 2016.