A Multicriteria Meta-Goal Portfolio Model Based in Morningstar Sector Groupings

Abstract

With the use of meta-goal programming, a portfolio model, based on Morningstar Stock Sector and Morningstar Bond Sectors, is developed. These sectors are part of an indexed mutual fund for stock and for bonds. The asset allocation is based upon a set of four meta-goals: (1) forecasted earnings growth, (2) forecasted revenue growth, (3) unwanted deviation of absolute deviation for the risk for stock investments, and (4) unwanted deviation of absolute deviation for the risk for bond investments.

Citation

Lawrence, K.D., Pai, D.R. and Lawrence, S.M. (2015), "A Multicriteria Meta-Goal Portfolio Model Based in Morningstar Sector Groupings", Applications of Management Science (Applications of Management Science, Vol. 17), Emerald Group Publishing Limited, Leeds, pp. 19-25. https://doi.org/10.1108/S0276-897620140000017002