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REF2014 Impact Case Study: Use of Goal Programming Models to Assist Strategic Financial Investment Decision Making

Impact: Practitioner Impacts

Description of impact

Research undertaken by members of the Logistics and Operational Research Group (LORG) at the University of Portsmouth led to the development of a set of goal programming models, which for the first time allowed the investment fund managers to consider a wider range of objectives beyond the usual risk and return paradigm. As a result, the decision making capabilities of key international investment fund managers and advisors were enhanced, resulting in improved decision making capabilities.

Who is affected

Investment companies; International fund managers.

Narrative

LORG members have been internationally leading in developing the theory and applications of goal programming since 1995.
A set of goal programmes for multi-objective portfolio optimisation was developed by LORG members to aid in investment companies’ strategic financial decision making. These models were capable of producing balanced finance portfolios for deciding the level of investment in mutual funds that included a range of goals specified by the decision including desired levels of risk, return, and maturity of the funds being invested in. They also took into account the GDP, inflation rate, and regional priorities of the country when deciding on the investments to be made. International fund managers have acknowledged the use of a quantitative model in their investment decision making and our results have guided financial decision making and investment advice given to the Kuwait Sovereign Wealth Fund and other investment funds.

Category of impact

  • Practitioner Impacts

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ID: 3315762