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Goal programming models and their duality relations for use in evaluating security portfolio and regression relations

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  • Cooper, W. W.
  • Lelas, V.
  • Sueyoshi, T.

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  • Cooper, W. W. & Lelas, V. & Sueyoshi, T., 1997. "Goal programming models and their duality relations for use in evaluating security portfolio and regression relations," European Journal of Operational Research, Elsevier, vol. 98(2), pages 431-443, April.
    • Handle: RePEc:eee:ejores:v:98:y:1997:i:2:p:431-443
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    References listed on IDEAS

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    1. Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
    2. Hiroshi Konno & Hiroaki Yamazaki, 1991. "Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market," Management Science, INFORMS, vol. 37(5), pages 519-531, May.
    3. A. Charnes & W. W. Cooper & R. O. Ferguson, 1955. "Optimal Estimation of Executive Compensation by Linear Programming," Management Science, INFORMS, vol. 1(2), pages 138-151, January.
    4. Crarnes, A. & Cooper, W. W. & Harrald, J. & Karwan, K. R. & Wallace, W. A., 1976. "A goal interval programming model for resource allocation in a marine environmental protection program," Journal of Environmental Economics and Management, Elsevier, vol. 3(4), pages 347-362, December.
    5. A. Charnes & W. W. Cooper & T. Sueyoshi, 1988. "A Goal Programming/Constrained Regression Review of the Bell System Breakup," Management Science, INFORMS, vol. 34(1), pages 1-26, January.
    6. Booth, GG & Bessler, W, 1989. "Goal programming models for managing interest-rate risk," Omega, Elsevier, vol. 17(1), pages 81-89.
    7. Charles D. Feinstein & Mukund N. Thapa, 1993. "Notes: A Reformulation of a Mean-Absolute Deviation Portfolio Optimization Model," Management Science, INFORMS, vol. 39(12), pages 1552-1553, December.
    8. Yusif Simaan, 1993. "What is the Opportunity Cost of Mean-Variance Investment Strategies?," Management Science, INFORMS, vol. 39(5), pages 578-587, May.
    9. Charnes, A. & Cooper, W. W. & Karwan, K. R. & Wallace, W. A., 1979. "A chance-constrained goal programming model to evaluate response resources for marine pollution disasters," Journal of Environmental Economics and Management, Elsevier, vol. 6(3), pages 244-274, September.
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    Cited by:

    1. Berger, Allen N. & Humphrey, David B., 1997. "Efficiency of financial institutions: International survey and directions for future research," European Journal of Operational Research, Elsevier, vol. 98(2), pages 175-212, April.
    2. Leon, T. & Liern, V. & Vercher, E., 2002. "Viability of infeasible portfolio selection problems: A fuzzy approach," European Journal of Operational Research, Elsevier, vol. 139(1), pages 178-189, May.
    3. Pendaraki, K. & Zopounidis, C. & Doumpos, M., 2005. "On the construction of mutual fund portfolios: A multicriteria methodology and an application to the Greek market of equity mutual funds," European Journal of Operational Research, Elsevier, vol. 163(2), pages 462-481, June.
    4. Aouni, Belaid & Kettani, Ossama, 2001. "Goal programming model: A glorious history and a promising future," European Journal of Operational Research, Elsevier, vol. 133(2), pages 225-231, January.
    5. Bilbao, A. & Arenas, M. & Rodriguez, M.V. & Antomil, J., 2007. "On constructing expert Betas for single-index model," European Journal of Operational Research, Elsevier, vol. 183(2), pages 827-847, December.
    6. Aouni, Belaid & Colapinto, Cinzia & La Torre, Davide, 2014. "Financial portfolio management through the goal programming model: Current state-of-the-art," European Journal of Operational Research, Elsevier, vol. 234(2), pages 536-545.
    7. 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.
    8. Glover, Fred & Sueyoshi, Toshiyuki, 2009. "Contributions of Professor William W. Cooper in Operations Research and Management Science," European Journal of Operational Research, Elsevier, vol. 197(1), pages 1-16, August.

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