A Comparison Between Goal Programming and Regression Analysis for Portfolio Selection

The aim of this paper is to investigate the application of Goal Programming (GP) to portfolio evaluation and selection. The shares analysed are those in the British FTSE 100 index. A two stage model is proposed. The first stage predicts the sensitivity of the shares to specific factors using GP and regression analysis. The second stage of the model selects a portfolio using a GP model based on the decision maker’s scenarios and preferences. A comparison between the sensitivities predicted by the first-stage of the GP model and that of the regression analysis is made. Keywords: Goal Programming, Portfolio Selection, Regression Analysis