Optimization of Portfolio Stock Selection with Meta Goal Programming

Eka Swastika Alwi Putri; Habibis Saleh; Moh Danil Hendry Gamal

doi:doi:10.11648/j.ijmfs.20190502.11

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Optimization of Portfolio Stock Selection with Meta Goal Programming

Eka Swastika Alwi Putri, Habibis Saleh, Moh Danil Hendry Gamal

Published in International Journal of Management and Fuzzy Systems (Volume 5, Issue 2)

Received: 31 May 2019 Accepted: 11 July 2019 Published: 30 July 2019

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Abstract

This article discusses the optimization of portfolio stock selection using the Meta Goal Programming (MGP) model. The optimization problem of stock portfolio selection with the MGP model is solved by combining the weight of trust in each type of MGP and comparing it with the Goal Programming (GP) portfolio. The ﬁnal result is in the form of the selection of ﬁve stocks which are designated as optimal portfolios. This new MGP portfolio produces a higher return value and a lower standard MGP portfolio deviation compared to the GP portfolio.

Published in	International Journal of Management and Fuzzy Systems (Volume 5, Issue 2)
DOI	10.11648/j.ijmfs.20190502.11
Page(s)	33-39
Creative Commons	This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited.
Copyright	Copyright © The Author(s), 2024. Published by Science Publishing Group

Keywords

Goal Programming, Meta Goal Programming, Optimization, Portofolio, Stock

References

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[4]	A. K. Bhargava, S. R. Singh and D. Bansal, Production planning using fuzzy meta goal programming model, Indian Journal of Science and Technology, 8 (2015), 34-42.
[5]	J. P. Ignizio, Introduction to Linear Goal Programming, Sage Publication, California, 1985.
[6]	D. Jones and M. Tamiz, A review of goal programming and its applications, Annals of Operations Research, 58 (1995), 39-53.
[7]	D. Jones and M. Tamiz, Practical goal programming, Springer, London, 2010.
[8]	F. Kucukbay and C. Araz, A comparison of fuzzy goal programming and linear physical programming, An International Journal of Optimization and Control, 6 (2016), 121-128.
[9]	K. D. Lawrence, D. R. Pai and S. M. Lawrence, A multi criteria meta goal programming model based in morningstar sector grouping, Applications of Management Science, 17 (2015), 19-25.
[10]	H. W. Lin, S. V. Nagalingam and G. C. I. Lin, Manufacturing decision-support using interactive meta goal programming, Australian Research, 2007, 331-341.
[11]	H. Markowitz, Portofolio selection, The Journal of Finance, 7 (1952), 77-91.
[12]	A. M. Parra, A. B. Terol and M. V. R. Uria, A fuzzy goal programming approach to portofolio selection, European Journal of Operational Research, 133 (2001), 287-297.
[13]	H. Sakhari and M. Sabuohi, Application meta goal programming in agriculture case study Neyshabour city, Journal of Agricultural Economics and Development, 26 (2012), 17.
[14]	M. V. R. Uria, R. Caballero, F. Ruiz, and C. Romero, Meta goal programming, European Journal of Operational Research, 2002, 422-429.
[15]	M. R. T. Yazdi, S. Fallahpour, dan M. A. Moghaddam, Portfolio Selection using Meta Goal Programming and Extended Lexicographic Goal Programming, ResearchGate Journal of Financial Research, 2017, 591-612.
[16]	M. R. T. Yazdi, S. Fallahpour, dan M. A. Moghaddam, Portfolio Selection using Meta Goal Programming, International Conference on Applied Research in Management and Accounting, 2016.

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APA Style

Eka Swastika Alwi Putri, Habibis Saleh, Moh Danil Hendry Gamal. (2019). Optimization of Portfolio Stock Selection with Meta Goal Programming. International Journal of Management and Fuzzy Systems, 5(2), 33-39. https://doi.org/10.11648/j.ijmfs.20190502.11

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ACS Style

Eka Swastika Alwi Putri; Habibis Saleh; Moh Danil Hendry Gamal. Optimization of Portfolio Stock Selection with Meta Goal Programming. Int. J. Manag. Fuzzy Syst. 2019, 5(2), 33-39. doi: 10.11648/j.ijmfs.20190502.11

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AMA Style

Eka Swastika Alwi Putri, Habibis Saleh, Moh Danil Hendry Gamal. Optimization of Portfolio Stock Selection with Meta Goal Programming. Int J Manag Fuzzy Syst. 2019;5(2):33-39. doi: 10.11648/j.ijmfs.20190502.11

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@article{10.11648/j.ijmfs.20190502.11,
  author = {Eka Swastika Alwi Putri and Habibis Saleh and Moh Danil Hendry Gamal},
  title = {Optimization of Portfolio Stock Selection with Meta Goal Programming},
  journal = {International Journal of Management and Fuzzy Systems},
  volume = {5},
  number = {2},
  pages = {33-39},
  doi = {10.11648/j.ijmfs.20190502.11},
  url = {https://doi.org/10.11648/j.ijmfs.20190502.11},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.ijmfs.20190502.11},
  abstract = {This article discusses the optimization of portfolio stock selection using the Meta Goal Programming (MGP) model. The optimization problem of stock portfolio selection with the MGP model is solved by combining the weight of trust in each type of MGP and comparing it with the Goal Programming (GP) portfolio. The ﬁnal result is in the form of the selection of ﬁve stocks which are designated as optimal portfolios. This new MGP portfolio produces a higher return value and a lower standard MGP portfolio deviation compared to the GP portfolio.},
 year = {2019}
}

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TY  - JOUR
T1  - Optimization of Portfolio Stock Selection with Meta Goal Programming
AU  - Eka Swastika Alwi Putri
AU  - Habibis Saleh
AU  - Moh Danil Hendry Gamal
Y1  - 2019/07/30
PY  - 2019
N1  - https://doi.org/10.11648/j.ijmfs.20190502.11
DO  - 10.11648/j.ijmfs.20190502.11
T2  - International Journal of Management and Fuzzy Systems
JF  - International Journal of Management and Fuzzy Systems
JO  - International Journal of Management and Fuzzy Systems
SP  - 33
EP  - 39
PB  - Science Publishing Group
SN  - 2575-4947
UR  - https://doi.org/10.11648/j.ijmfs.20190502.11
AB  - This article discusses the optimization of portfolio stock selection using the Meta Goal Programming (MGP) model. The optimization problem of stock portfolio selection with the MGP model is solved by combining the weight of trust in each type of MGP and comparing it with the Goal Programming (GP) portfolio. The ﬁnal result is in the form of the selection of ﬁve stocks which are designated as optimal portfolios. This new MGP portfolio produces a higher return value and a lower standard MGP portfolio deviation compared to the GP portfolio.
VL  - 5
IS  - 2
ER  -

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Author Information

Eka Swastika Alwi Putri

Department of Mathematics, University of Riau, Pekanbaru, Indonesia
Habibis Saleh

Department of Mathematics, University of Riau, Pekanbaru, Indonesia
Moh Danil Hendry Gamal

Department of Mathematics, University of Riau, Pekanbaru, Indonesia

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Plain Text BibTeX RIS

APA Style

Eka Swastika Alwi Putri, Habibis Saleh, Moh Danil Hendry Gamal. (2019). Optimization of Portfolio Stock Selection with Meta Goal Programming. International Journal of Management and Fuzzy Systems, 5(2), 33-39. https://doi.org/10.11648/j.ijmfs.20190502.11

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ACS Style

Eka Swastika Alwi Putri; Habibis Saleh; Moh Danil Hendry Gamal. Optimization of Portfolio Stock Selection with Meta Goal Programming. Int. J. Manag. Fuzzy Syst. 2019, 5(2), 33-39. doi: 10.11648/j.ijmfs.20190502.11

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AMA Style

Eka Swastika Alwi Putri, Habibis Saleh, Moh Danil Hendry Gamal. Optimization of Portfolio Stock Selection with Meta Goal Programming. Int J Manag Fuzzy Syst. 2019;5(2):33-39. doi: 10.11648/j.ijmfs.20190502.11

Copy | Download

@article{10.11648/j.ijmfs.20190502.11,
  author = {Eka Swastika Alwi Putri and Habibis Saleh and Moh Danil Hendry Gamal},
  title = {Optimization of Portfolio Stock Selection with Meta Goal Programming},
  journal = {International Journal of Management and Fuzzy Systems},
  volume = {5},
  number = {2},
  pages = {33-39},
  doi = {10.11648/j.ijmfs.20190502.11},
  url = {https://doi.org/10.11648/j.ijmfs.20190502.11},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.ijmfs.20190502.11},
  abstract = {This article discusses the optimization of portfolio stock selection using the Meta Goal Programming (MGP) model. The optimization problem of stock portfolio selection with the MGP model is solved by combining the weight of trust in each type of MGP and comparing it with the Goal Programming (GP) portfolio. The ﬁnal result is in the form of the selection of ﬁve stocks which are designated as optimal portfolios. This new MGP portfolio produces a higher return value and a lower standard MGP portfolio deviation compared to the GP portfolio.},
 year = {2019}
}

Copy | Download

TY  - JOUR
T1  - Optimization of Portfolio Stock Selection with Meta Goal Programming
AU  - Eka Swastika Alwi Putri
AU  - Habibis Saleh
AU  - Moh Danil Hendry Gamal
Y1  - 2019/07/30
PY  - 2019
N1  - https://doi.org/10.11648/j.ijmfs.20190502.11
DO  - 10.11648/j.ijmfs.20190502.11
T2  - International Journal of Management and Fuzzy Systems
JF  - International Journal of Management and Fuzzy Systems
JO  - International Journal of Management and Fuzzy Systems
SP  - 33
EP  - 39
PB  - Science Publishing Group
SN  - 2575-4947
UR  - https://doi.org/10.11648/j.ijmfs.20190502.11
AB  - This article discusses the optimization of portfolio stock selection using the Meta Goal Programming (MGP) model. The optimization problem of stock portfolio selection with the MGP model is solved by combining the weight of trust in each type of MGP and comparing it with the Goal Programming (GP) portfolio. The ﬁnal result is in the form of the selection of ﬁve stocks which are designated as optimal portfolios. This new MGP portfolio produces a higher return value and a lower standard MGP portfolio deviation compared to the GP portfolio.
VL  - 5
IS  - 2
ER  -

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