Optimal Portfolio Selection using Goal Programming and Analysis Hierarchical Process- EVA Approach

Rational investment decisions needs attention to criteria and different factors simultaneously. Goal programming can be used to achieve this Purpose. Goal programming is used widely in management science due to the flexibility in the assessment of the decision with multiple objective contradictory and vague information. In this paper, differences in stock selection and the results of the Markowitz model and goal programming model is shown. Measures Common minimize risk, maximize revenue, be positive skewness of the revenue portfolio, be negative elongation of portfolio risk and a measure of economic value added and dividend separately in two stages are considered as the model's ideal. Using analysis hierarchical process (AHP) was comparable to the level of importance of the criteria. For this reason, Information of 10 participants from 30 best companies in the Tehran Stock Exchange were used. Statistical analysis and solve the model has been by Using spss software and lingo software. According to the results, goal programming model, greater efficiency compared with Markowitz model to provide investor.