| Goal Programming for Investment Portfolio and Its Application |
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| 作者姓名： | 易树平 |
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| 作者单位： | Yl Shuping，LIN Li，ZENG Liping，REN Qiang1.College of Mechanical Engineering，Chongqing University，Chongqing400044，P.R. China 2.Chang'an Automobile Co.Ltd.，Chongqing 400023，P.R. China |
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| 基金项目： | Funded by the Foundation of Science Committee of Chongqing (No.2000- 6071) |
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| 摘 要： | To solve the problem of investment portfolio with single goal of maximal NPV, a 0- 1 programming model was proposed and proved effective; and to solve that concerning more elements of a project such as risk level and social benefit, a goal programming model is then introduced. The latter is a linear programming model adopting slack variable called deviation variable to turn inequation constraint into equation constraint, introducing a priority factor to denote different importance of the goals. A case study has demonstrated that this goal programming model can give different results according to different priority requirement of each objective.
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Goal Programming for Investment Portfolio and Its Application |
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| Yl Shuping,LIN Li,ZENG Liping,REN Qiang.College of Mechanical Engineering,Chongqing University,Chongqing,P.R. China .Chang''an Automobile Co.Ltd.,Chongqing,P.R. China.Goal Programming for Investment Portfolio and Its Application[J].Journal of Chongqing University,2002,1(1):27-31. |
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| Authors: | Yl Shuping LIN Li ZENG Liping REN QiangCollege of Mechanical Engineering Chongqing University Chongqing PR China Chang'an Automobile CoLtd Chongqing PR China |
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| Institution: | Yl Shuping,LIN Li,ZENG Liping,REN Qiang1.College of Mechanical Engineering,Chongqing University,Chongqing400044,P.R. China 2.Chang'an Automobile Co.Ltd.,Chongqing 400023,P.R. China |
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| Abstract: | To solve the problem of investment portfolio with single goal of maximal NPV, a 0- 1 programming model was proposed and proved effective; and to solve that concerning more elements of a project such as risk level and social benefit, a goal programming model is then introduced. The latter is a linear programming model adopting slack variable called deviation variable to turn inequation constraint into equation constraint, introducing a priority factor to denote different importance of the goals. A case study has demonstrated that this goal programming model can give different results according to different priority requirement of each objective. |
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| Keywords: | Goal programming Investment portfolio Optimal model |
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