Analytical Hierarchy Process and Goal Programming Approach for Asset Allocation英文文献资料.docVIP

Journal of Mathematical Finance, 2012, 2, 96-104 /10.4236/jmf.2012.21012 Published Online February 2012 (http://www.SciRP.org/journal/jmf) Analytical Hierarchy Process and Goal Programming Approach for Asset Allocation Komlan Sedzro , Arif Marouane , Tov Assogbavi 1 2 3 1 Finance Department, School of Business and Management, University of Quebec, Montreal, Canada Business Development Bank of Canada, Montreal, Canada 2 3 School of Commerce and Administration, Laurentian University, Sudbury, Canada Email: sedzro.k@uqam.ca, Marouane.arif@bdc.ca, tassogbavi@laurentian.ca Received September 27, 2011; revised November 29, 2011; accepted December 8, 2011 ABSTRACT Asset allocation in portfolio construction must simultaneously consider market conditions and investors’ specific pref- erences. Therefore, it is a multi-criteria decision that goes beyond the scope of the two-criteria, mean and variance of the portfolio returns, optimization method that traditionally prevails in the financial literature. This article suggests a pro- cedure that makes integrated asset management possible, based on the Analytic Hierarchy Process combined with a mean variance and goal programming model. We illustrate this procedure with data from Canadian mutual funds over a total period of five years and three months, from September 2002 to November 2007. The results obtained are encour- aging, as the portfolios constructed in this manner perform better than the SP/TSX 60 index, which is the reference portfolio for the Canadian market. Keywords: Asset Allocation; Goal Programming; Analytic Hierarchy Process 1. Introduction We apply the Analytic Hierarchy Process (AHP), com- bined with a mean variance optimization and goal progra- mming model to allocate assets within a portfolio, consid- ering both market conditions and investors’ preferences. Asset allocation is one of the mo