Results 21 to 30 of about 4,935,448 (269)
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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Integrating prediction in mean-variance portfolio optimization [PDF]
Social Science Research Network, 2021 In quantitative finance, prediction models are traditionally optimized independently from their use in the asset allocation decision-making process. We address this limitation and present a stochastic optimization framework for integrating regression ...
A. Butler, R. Kwon
semanticscholar +1 more source
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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Social responsibility portfolio optimization incorporating ESG criteria
Journal of Management Science and Engineering, 2021 Social responsibility investment (SRI) has attracted worldwide attention for its potential in promoting investment sustainability and stability. We developed a three-step framework by incorporating environmental, social, and governance (ESG) performance ...
Li Chen +4 more
semanticscholar +1 more source
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 With the advances in time-series prediction, several recent developments in machine learning have shown that integrating prediction methods into portfolio selection is a great opportunity. In this paper, we propose a novel approach to portfolio formation
Apichat Chaweewanchon, Rujira Chaysiri
semanticscholar +1 more source
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
doaj +1 more source
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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