A meta-goal programming model for asset allocation of mutual funds under the mean absolute deviation

Kenneth D. Lawrence, Dinesh R. Pai, Sheila M. Lawrence

Research output: Contribution to journalArticle

Abstract

Multi-criteria optimization by meta-goal programming of a portfolio of asset allocation mutual funds is the focus of this chapter. Asset allocation is generally defined as the allocation of an investor’s portfolio across a number of different asset classes. The standard classical portfolio model uses the nonlinear model of quadratic programming to minimize risk and maximize return by mean absolute deviation. Instead of the variance measure of the risk of the rate of return, the mean absolute deviation is used as a measure of risk. In this chapter, three types of meta-goals are Type 1: a meta-goal relating to other percentage sum of unwanted deviations, Type 2: a meta-goal relating to the maximum percentage deviation, and Type 3: a meta-goal relating to the percentage of L goals.

Original languageEnglish (US)
Pages (from-to)307-313
Number of pages7
JournalApplications of Management Science
Volume15
DOIs
Publication statusPublished - Jan 1 2012

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All Science Journal Classification (ASJC) codes

  • Business, Management and Accounting(all)

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