Construction of moment-based goal programming models for sustainable portfolio selection.

PROJECT REF: MPHY3340217

This project will develop a new class of mathematical portfolio selection models that allow the selection of portfolios in accord with investors’ preferences by consideration and combination of two additional data sources. The first source is the higher moments of the asset and portfolio return statistical distributions. The project will go beyond the consideration of the third (skewness) and fourth (kurtosis) moments to produce generic moment-based portfolio selection models that can be formulated as high-order polynomial and semi-infinite goal programmes. These will then be solved using mathematical programming modelling software. The second factor is the inclusion of sustainability (economic, environmental and social) factors in order to produce portfolio that is tailored to the individual investor’s preferences and beliefs. An analysis of the sustainability factors of a set of assets will be undertaken and hence sustainability factors will be incorporated into the goal programming portfolio selection models. Sensitivity analysis of the results will be undertaken and conclusions drawn.

This opportunity will suit a candidate with a degree level or masters qualification in mathematics, statistics, operational research or finance who is looking to further their career in the operational research or analytics field. Candidates should be enthusiastic about the topic and willing to work with academic and research staff within the Centre for Operational Research and Logistics (CORL) (www.port.ac.uk/corl). The ideal candidate would also have some experience of modelling and solving mathematical, statistical or operational research models by computerised software. The successful candidate will work alongside the supervisory team of Dr Chee-Khian Sim and Prof Dylan Jones, as well as participating in regular research events from CORL and the Department of Mathematics. PhD candidates in the operational research domain have traditionally been given the opportunity to participate in multiple NATCOR (www.natcor.ac.uk) courses as part of their research training.