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Byline: Reza Khorramshahgol, Mehrdad Tamiz The aim of this research is to use Taguchi's loss function to assess the loss associated with a solution provided by a particular Multi-Criteria Decision Making (MCDM) method. Although the idea proposed in this paper, derived from Taguchi's philosophy and his idea of social loss, can be invariably applied to any MCDM method, the paper utilises Goal Programming (GP) to illustrate the applicability of the proposed method.

This paper proposes and examines the use of several stock‐related factors, called extended factors, for portfolio selection. These factors, including the traditional factors of risk and return, are represented as objectives in weighted goal programming (WGP) models. Several WGP models with passive and active target values and various weights for their unwanted deviational variables in their achievement functions have been developed. The weights and target values of the extended factors represent decision makers' utility toward their portfolio. The resulting portfolios for the proposed models are compared against each other as well as against the Dow Jones Industrial Average index and portfolios obtained from the well‐established Markowitz and Konno and Yamazaki's models. The experimental results strongly support the use of extended factors for portfolio selection problems and the assumption of meeting decision maker's preferences and utilities better than the portfolios based entirely on risk and return. [ABSTRACT FROM AUTHOR]

Recent developments in the theory of goal-programming (GP) are analyzed. These include the modelling techniques for pareto efficiency restorations, normalization, naive prioritization and redundancy checking. The correlations between GP and other multi-criteria decision making (MCDM) techniques and the utility interpretation of GP are discussed while the feasibility of ranking MCDM techniques is also examined.

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