We present a goal programming model for risk minimization of a financial portfolio managed by an agent subject to different possible criteria. We extend the classical risk minimization model with scalar risk measures to  general case of set-valued risk measure . The problem we obtain is a set-valued optimization program and we propose a goal programming-based approach  to obtain a solution which represents the best compromise between goals and the achievement levels. Numerical examples are provided to illustrate how the method works in practical situations.
We extend the classical risk minimization model with scalar risk measures to the general case of set-valued risk measures . The problem we obtain is a set-valued optimization model and we propose a goal programming-based approach with satisfaction function to obtain a solution which represents the best compromise between goals and the achievement levels. Numerical examples are provided to illustrate how the method works in practical situations.
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present a goal programming model for risk minimization of a financial portfolio managed by an agent subject to different possible criteria. We
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with satisfaction function