A Goal Programming Model with Satisfaction Function for Risk Management and Optimal Portfolio Diversification
Risk Management
2012-09-20 v2 Probability
Abstract
We extend the classical risk minimization model with scalar risk measures to the general case of set-valued risk measures. The problem we obtain is a set-valued optimization model and we propose a goal programming-based approach with satisfaction function to obtain a solution which represents the best compromise between goals and the achievement levels. Numerical examples are provided to illustrate how the method works in practical situations.
Keywords
Cite
@article{arxiv.1201.1783,
title = {A Goal Programming Model with Satisfaction Function for Risk Management and Optimal Portfolio Diversification},
author = {Davide La Torre and Marco Maggis},
journal= {arXiv preprint arXiv:1201.1783},
year = {2012}
}