An Application of Interactive Multiple Goal Programming on the Warsaw Stock Exchange

The first research concerning stock selection and evaluation methods goes back to the 1929 great depression. Initially there were two main approaches: fundamental and technical analysis. In the 50’s a new trend in stock market analysis started up, namely portfolio analysis. Its origins and development were connected with Markowitz’s [4], [5] and Sharpe’s [12] papers. According to them portfolio selection is conceived as a problem of finding an efficient set of portfolios. The probabilistic estimates of future risks and returns of securities are applied. Then an investor chooses one portfolio from the efficient set.