Goal programming models and their duality relations for use in evaluating security portfolio and regression relations

作     者：Cooper, WW Lelas, V Sueyoshi, T 

作者机构：SCI UNIV TOKYODEPT IND ADMCHIBAJAPAN 

出 版 物：《EUROPEAN JOURNAL OF OPERATIONAL RESEARCH》 (欧洲运筹学杂志)

年 卷 期：1997年第98卷第2期

页      面：431-443页

核心收录：

学科分类：1201[管理学-管理科学与工程(可授管理学、工学学位)] 07[理学] 070104[理学-应用数学] 0701[理学-数学] 

主　　题：goal programming portfolio selection duality risk LAV regressions 

摘      要：The literature on multiple objective programming contains numerous examples in which goal programming is used to plan a selection of inputs to secure desired outputs that will conform as closely as possible to a collection of (possibly conflicting) objectives. In this paper the orientation is changed from selection to evaluation and the dual variables associated with goal programming are brought into play for this purpose. The body of the paper is devoted to an example in portfolio planning modelled along lines like those used by Konno and Yamazaki where closeness to risk and return objective is measured in sums of absolute deviations. An appendix then shows how such a use of dual variables may be applied to evaluate least absolute value (LAV) regressions relative to their sensitivity to data variations. Simple numerical examples are used to illustrate the potential uses of these dual variable values for evaluation in more complex situations that include determining whether an efficiency frontier has been attained. (C) 1997 Elsevier Science B.V.