Optimizing the Industry Portfolio in Holding Companies with Goal Programming Approach
Keywords:
Optimization, Industries Portfolio, Holding Companies, Goal programmingAbstract
One of the main issues in holding companies is the issue of optimizing the investment portfolio. This issue can be discussed at three levels of industry, product, and company selection, and multiple and sometimes conflicting criteria and goals are involved in this issue. The aim of this research is to design an industry portfolio optimization model in holding companies with a goal programming approach. In this regard, first, the indicators affecting industry selection are identified, and then, using the DEMATEL technique, the internal relationships between these indicators are calculated, and then, using the Analytic Network Process (ANP) method, the indicators affecting industry selection and target industries are prioritized. Finally, by modeling the problem, considering multiple goals, and using the goal-oriented programming method, the optimal weight of the target industries and the proposed industry portfolio are presented. The research results indicate that in the proposed portfolio, the oil, gas, and petrochemical, mining, and ore, and pharmaceutical industries have the greatest weight. The proposed portfolio shows better returns compared to the existing portfolio of one of the holding companies.
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