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 JMF  Vol.2 No.1 , February 2012
Analytical Hierarchy Process and Goal Programming Approach for Asset Allocation
Abstract: Asset allocation in portfolio construction must simultaneously consider market conditions and investors’ specific preferences. 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 procedure 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 encouraging, as the portfolios constructed in this manner perform better than the S&P/TSX 60 index, which is the reference portfolio for the Canadian market.
Cite this paper: K. Sedzro, A. Marouane and T. Assogbavi, "Analytical Hierarchy Process and Goal Programming Approach for Asset Allocation," Journal of Mathematical Finance, Vol. 2 No. 1, 2012, pp. 96-104. doi: 10.4236/jmf.2012.21012.
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