%0 Journal Article
%T Analytical Hierarchy Process and Goal Programming Approach for Asset Allocation
%A Komlan Sedzro
%A Arif Marouane
%A Tov Assogbavi
%J Journal of Mathematical Finance
%P 96-104
%@ 2162-2442
%D 2012
%I Scientific Research Publishing
%R 10.4236/jmf.2012.21012
%X Asset allocation in portfolio construction must simultaneously consider market conditions and investorsĄ¯ 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.
%K Asset Allocation
%K Goal Programming
%K Analytic Hierarchy Process
%U http://www.scirp.org/journal/PaperInformation.aspx?PaperID=17602