A multicriteria meta-goal portfolio model based in morningstar sector groupings

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

Research output: Contribution to journalArticle

Abstract

With the use of meta-goal programming, a portfolio model, based on Morningstar Stock Sector and Morningstar Bond Sectors, is developed. These sectors are part of an indexed mutual fund for stock and for bonds. The asset allocation is based upon a set of four meta-goals: (1) forecasted earnings growth, (2) forecasted revenue growth, (3) unwanted deviation of absolute deviation for the risk for stock investments, and (4) unwanted deviation of absolute deviation for the risk for bond investments.

Original languageEnglish (US)
Pages (from-to)19-25
Number of pages7
JournalApplications of Management Science
Volume17
DOIs
StatePublished - Jan 1 2015

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Grouping
Deviation
Portfolio model
Multi-criteria
Earnings growth
Mutual funds
Asset allocation
Revenue growth
Goal programming

All Science Journal Classification (ASJC) codes

  • Business, Management and Accounting(all)

Cite this

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A multicriteria meta-goal portfolio model based in morningstar sector groupings. / Lawrence, Kenneth D.; Pai, Dinesh R.; Lawrence, Sheila M.

In: Applications of Management Science, Vol. 17, 01.01.2015, p. 19-25.

Research output: Contribution to journalArticle

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