| Abstract: | In a recent issue of Decision Sciences, Muhlemann, Lockett, and Gear [8] developed a multiple-objective, stochastic linear programming formulation of the multiperiod portfolio selection problem under uncertainty. The purpose of this note is to offer some extensions to their multicriteria approach which is otherwise viewed as an excellent attempt at modeling realistic aspects of the portfolio selection problem. Further, integer goal programming combined with simulation is suggested as an alternate approach for solving the dynamic multiple-objective problem. |
