Mean-Variance Portfolio Selection Model
The Optimization of the Mean Variance Portfolio Selection with Nonsmooth Concave Transaction Costs
... Transaction costs are widespread, and its function is nonsmooth concave normally in the situation of the underdeveloped market, thus the research makes investment analysis closer to reality. The paper proposed a ...
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Online Full Text
... to model a DC pension fund in a complete financial market with stochastic investment opportunities and two background risks: salary risk and inflation ...Markowitz’s mean-variance port- folio ...
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Continuous Time Mean Variance Portfolio Selection with Inflation in an Incomplete Market
... optimal portfolio strategy and the efficient frontier for the original mean-variance portfolio optimization problem under inflation are obtained in closed ...
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Multi-period fuzzy mean-semi variance portfolio selection problem with transaction cost and minimum transaction lots using genetic algorithm Pages 217-228 Download PDF
... of portfolio selection have been developed in the literature with respect to certain ...the portfolio selection problem has been modeled based on mean-semi variance with ...
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Comparisons and Characterizations of the Mean Variance, Mean VaR, Mean CVaR Models for Portfolio Selection With Background Risk
... a model to incorporate features of both behavioral and mean- variance models by assuming that investors only faces portfolio ...only portfolio risk but also background ...
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The Mean Variance Model Revisited with a Cash Account
... [1], mean-variance analysis has become an important port- folio management approach both in academics and in prac- ...extended portfolio selection models [6-8] and portfolio perform- ...
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Online Full Text
... [20], Portfolio selection problem has been one of standard and most important problems in investment and financial research ...modern portfolio theory ...of portfolio models which are extended ...
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Mean-Variance portfolio optimization when each asset has individual uncertain exit-time
... the portfolio uncertain ...M-V portfolio selection problem has been studied, where each asset has individual uncertain ...optimal portfolio of the generalized problem is independent of the ...
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Static Mean-Variance portfolio optimization under general sources of uncertainty
... multi-period portfolio selection models, it is common that the quantity of each asset is not the same at the beginning and at the end of the investment ...the portfolio during the ...our ...
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Multi Period Mean Variance Portfolio Selection with State Dependent Exit Probability and Bankruptcy State
... MV portfolio selection problem in the regime-switching ...the portfolio selection with bankruptcy state, but do not consider the factor of exit ...multi-period mean-variance ...
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Determining the Optimal Stock Portfolio in Tehran Stock Exchange Based on Multi-Objective Evolutionary Algorithm with ϵ Error Level (ϵ-MOEA)
... modern portfolio theory was first introduced by Markowitz (1952) ...the mean-variance model, was so important that brought him the Nobel Memorial Prize in Economic ...his portfolio ...
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Risk Return Relationship in the Portfolio Selection Models
... Sharpe model provides a convex combination of risk free government bonds and a portfolio of stocks se- lected based on the criterion of risk ...required portfolio returns and risk free bond ...
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The Research of Discrete Mean - Variance Portfolio Problem with Time-Delay
... make model is unable to get analytic ...dynamic variance model studies were not made greater ...a mean - variance model, That is maximum E[U(X(T))], U is the utility function, ...
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Robust Portfolio Selection Problems Including Uncertainty Factors
... and variance of each asset are assumed to be known, and in this case, the mean-variance model is equivalent to a quadratic convex programming ...optimal portfolio is analytically ...and ...
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High Order Portfolio Optimization Problem with Transaction Costs
... their portfolio model and proposed the Grey Wolf Optimization algorithm to solve the ...fuzzy mean-variance-skewness-entropy model, which established a multi-objective non-linear ...
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Portfolio Selection under Condition of Variable Weights
... Markowitz Mean-Variance portfolio selection ...Markowitz’s model requires that after choosing the number of each security which constructs the portfolio in the beginning of the ...
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A Comparative Study of Mean Variance and Mean Gini Portfolio Selection Using VaR and CVaR
... In order to make the comparison of the two strategies clearer, we used quasi-analytic VaR and CVaR methods using the GARCH (1.1) model, because the variance is not homoscedastic as the ARCH test result ...
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Continuous Time Mean Variance Portfolio Selection with Partial Information
... of model parameters, Bielecki and Pliska introduced a model such that the underlying economic factors such as accounting ratios, dividend yields, and macroeconomic measures are explicitly incorporated in ...
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A Fuzzy Programming Approach to Multi-objective Mean Variance Model
... best portfolio decisions, decision maker will have to take help of some vaguely define financial parameters such as return more than 20%, risk lower than 10% ...
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Portfolio Performance Evaluation in a Modified Mean-Variance-Skewness Framework with Negative Data
... Note that subscript ‘o’ refers to the unit under the evaluation. A DMU is efficient iff 1 and all slack variables s , s equal zero; otherwise it is inefficient (Charnes et al. [4]). In the DEA formulation above, ...
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