problem of portfolio selection
The Application of Imperialist Competitive Algorithm for Fuzzy Random Portfolio Selection Problem
... random portfolio selection problem where the asset returns are represented by fuzzy random ...variables. Portfolio Optimization is an important research field in modern ...random ...
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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 problem. The problem was addressed as a mean semi-variance model encompassing such functional constraints as minimum transaction lots and transaction ...to ...
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Robust Mean-Variance Portfolio Selection Problem Including Fuzzy Factors
... to portfolio selection problems (Bilbao-Terol [4], Carlsson [5], Guo [9], Huang [11, 12], Inuiguchi [14, 15], Katagiri [17, 18], Tanaka [29, 30], Watada ...of portfolio selection ...robust ...
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Optimal stopping investment in a logarithmic utility-based portfolio selection problem
... stopping problem for an arbitrary diffusion process to an undis- counted one for standard Brownian ...active portfolio management to passive management and modelled it to a mixture of a ...
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An Explicit Solution for a Portfolio Selection Problem with Stochastic Volatility
... Portfolio selection is a classical problem in mathematical finance, where the main objective is to seek the best proportion of wealth to invest in risky assets in order to benefit from market ...the ...
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Stochastic dynamic programming methods for the portfolio selection problem
... dispatch problem, [66] for an application in resource al- location problems and [80] for an application in an inventory allocation ...the portfolio selection problem, however, they do not ...
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An alternative to portfolio selection problem beyond Markowitz’s: Log Optimal Growth Portfolio
... Modern Portfolio Theory (MPT). Portfolio optimization in the context of portfolio theory is a classical problem in mathematical finance which has spawned a great amount of important academic ...
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Robust portfolio selection problem under temperature uncertainty
... a portfolio management problem under temperature uncertainty using weather ...to portfolio allocation of weather derivatives is introduced to investigate impact of temperature noise on the investment ...
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Portfolio Selection by Maximizing Omega Function using Differential Evolution
... given problem that is represented by para- meters of ...competitive selection that carried out poor solutions. Consider the problem of portfolio selection it is possible to summarize ...
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Portfolio selection: a fuzzy-ANP approach
... The problem of portfolio selection has been widely explored across several fields, ranging from traditional and quantitative finance to machine learning and artificial intelligence (Li and Hoi ...
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A portfolio selection using fuzzy analytic hierarchy process: A case study of Iranian pharmaceutical industry Pages 225-236 Download PDF
... non-convex problem. Anagnostopoulos and Mamanis (2010) formulated the problem of portfolio selection as a three objective optimization problem in order to find tradeoffs between risk, ...
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On the choice of covariance specifications for portfolio selection problems
... the problem of portfolio selection are the specification of the model for expected returns and their covariances, as well as the choice of the investment policy to be ...16 portfolio ...
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Portfolio Selection Using Genetic Algorithm
... The selection of optimal portfolios is the central problem of financial investment ...speaking, portfolio selection refers to the formulation of an objective function that determines the ...
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Online Full Text
... mean-variance portfolio selection problem with stochastic salary and strategic consumption planning for a constant relative risk averse (CRRA) pension plan member (PPM) in the accumulation phase of a ...
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Static Mean-Variance portfolio optimization under general sources of uncertainty
... M-V portfolio selection model under general sources of uncertainty, which generalizes the Markowitz’s model (1952) and covers the models of Martellini and Urosevic (2006) and Keykhaei ...generalized ...
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Robust portfolio selection under norm uncertainty
... Recently, Bertsimas and Sim [] proposed a different approach for robust linear opti- mization with polyhedral (as opposed to ellipsoidal) uncertainty sets. An attractive aspect of their method is that the new robust ...
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II. MULTI OBJECTIVE PORTFOLIO PTIMIZATION PROBLEM
... and portfolio optimization. The purpose of portfolio selection is to find an optimal strategy for allocating wealth among a number of securities (investment) and to obtain an optimal risk-return ...
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Project Portfolio Selection with Scheduling: An Evolutionary Approach
... common problem, the selection of a project portfolio, whose quality in its solution interferes a lesser or greater degree in their profits, another factor that directly influences these benefits is ...
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On Line Portfolio Selection for a Currency Exchange Market
... The problem of establishing on-line portfolio selection schemes for various financial markets has been well studied (see, ...on-line portfolio selection schemes without transaction ...
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Bayesian Portfolio Selection with Gaussian Mixture Returns
... More recently, with the fast advancement of computation techniques, large scale Bayesian portfolio selection becomes possible. Polson and Tew (2000) use a three stage hierarchical model to derive the ...
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