Studiu privind Programarea cu Obiectiv Multiplu pentru optimizarea gestiunii portofoliului – Mircea Bahna

Portfolio optimization as method used in finance aims to identify the potential scenarios for satisfying conflicting/competing objectives like, for example, maximizing the return/profit and reducing the risk/loss. Thus, the motivation for choosing studying and applying this method arises from the potential scenarios that the portfolio managers or the individual investors have when applying this framework. Obviously, the decision itself will belong to these decision makers, in terms of yield / risk limits, and traders will achieve the execution of this goal. The analysis per se of the polynomial branch of the goal programming will be done to indicate the achievement of the limitations which are heavily mentioned since the very beginning of the modern theories of portfolio management, limitations given by the needs of incorporating the higher order moments in the investment decision.