Results 11 to 20 of about 23,032 (275)
Possibility theory for multiobjective fuzzy random portfolio optimization [PDF]
Decision Science Letters, 2014 The problem of portfolio optimization is a standard problem in financial world and it has received tremendous attentions. Portfolio optimization plays essential role in determining portfolio strategies for investors.
Mir Ehsan Hesam Sadati +2 more
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Project Portfolio Optimization with Considering Interaction between Projects Using Imperialist Competitive Algorithm (ICA) [PDF]
مدیریت صنعتی, 2013 Due to Project evaluation complexity and resource constraints, the project portfolio optimization is numerous decision making challenges. Hence, many researches have been done to introduce model and methods for portfolio optimization.
Pourkazemi Pourkazemi +3 more
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Regularizing portfolio optimization [PDF]
New Journal of Physics, 2010 The optimization of large portfolios displays an inherent instability to estimation error. This poses a fundamental problem, because solutions that are not stable under sample fluctuations may look optimal for a given sample, but are, in effect, very far from optimal with respect to the average risk.
Susanne Still, Imre Kondor
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Optimal Portfolio Prediction in Tehran Stock Market using Multi-Objective Evolutionary Algorithms, NSGA-II and MOPSO [PDF]
تحقیقات مالی, 2014 Despite the growing use of evolutionary multi-objective optimization algorithms in different categories of science, these algorithms as a powerful tool in portfolio optimization and specially solving multi-objective portfolio optimization problem is ...
Mahsa Rajabi, Hamid Khaloozadeh
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Journal of Finance and Data Science, 2023 This paper introduces the minCluster portfolio, which is a portfolio optimization method combining the optimization of downside risk measures, hierarchical clustering and cellwise robustness.
Emmanuel Jordy Menvouta +2 more
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Foster–Hart optimal portfolios [PDF]
Journal of Banking & Finance, 2016 We reinvestigate the classic portfolio optimization problem where the notion of portfolio risk is captured by the “Foster-Hart risk” — a new, bankruptcy-proof, reserve based measure of risk, extremely sensitive to left tail events (Foster and Hart, 2009).
Anand, Abhinav +3 more
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International Journal of Financial Studies, 2022 Portfolio optimization is an activity for balancing return and risk. In this paper, we used mean-variance (M-V) portfolio models with buy-in threshold and cardinality constraints.
Werry Febrianti +2 more
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Optimal characteristic portfolios
Quantitative Finance, 2020 Characteristic-sorted portfolios are the workhorses of modern empirical finance, deployed widely to evaluate anomalies and construct asset pricing models. We propose a new method for their estimation that is simple to compute, makes no ex-ante assumption on the nature of the relationship between the characteristic and returns, and does not require ad ...
Richard J. McGee, Jose Olmo
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IEEE Access, 2021 Since optimal portfolio strategy depends heavily on the distribution of uncertain returns, this article proposes a new method for the portfolio optimization problem with respect to distribution uncertainty.
Ningning Du, Yankui Liu, Ying Liu
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Sistemnì Doslìdženâ ta Informacìjnì Tehnologìï, 2020 The problem of constructing an optimal securities portfolio under uncertainty is considered along with the direct and dual problems of fuzzy portfolio optimization. The modified fuzzy portfolio optimization problem is also suggested under a constraint on
Helen Zaychenko, Yuriy Zaychenko
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