A Nonlinear goal programming model for portfolio selection

The theoretical problems faced in Operations Research, depending upon the number of objective functions, are examined in two ways: single objective and multiple objective models. In the models related to single objective problems, there is only one objective such as maximization and minimization. However, it is necessary that several objectives are taken into consideration simultaneously in order to make right decisions about problems. Thus, multiple objective models constitute a significant part of the Operations Research. On the other hand, the majority of problems cannot be formulated linearly in terms of both included constraints and objective functions. The fact that this kind of problems are defined and solved under the assumption of linearity causes biased outcomes. To this end, it is necessary to formulate these models so as to include non linear objective functions or constraints. Moreover, this kind of problems must be solved by non linear programming techniques. In this study, Non linear Goal Programming technique is employed to find an optimal solution to a Portfolio Selection model which includes non linear constraints and multiple objectives. Science Code Key Words Page number Adviser 406. 01. 01 non linear goal programming, portfolio selection