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JOURNAL OF ACCOUNTING AND FINANCE

An Operational Goal Programming Model of Mutual Fund

Portfolio Determination

Author(s): John R. MacLeod, James S. Moore

Citation: John R. MacLeod, James S. Moore, (2012) "An Operational Goal Programming Model of Mutual Fund Portfolio Determination," Vol. 12, Iss. 2, pp. 20 - 37

Article Type: Research paper

Publisher: North American Business Press

Abstract:

An operational investment model is designed and built in order to find the optimal combination of a set of pre-screened mutual fund investments to make over a specific time horizon, subject to the goals and constraints defined by the user. The model can recommend an optimal investment mix based upon the user’s goals with respect to desired return, desired risk exposure, Sharpe Ratio, or a combination thereof.