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Prediction Intervals for Time Series and their Applications to Portfolio Selection
Revstat Statistical Journal, 2020 This study considers prediction intervals for time series and applies the results to portfolio selection. The dynamics of the high and low underlying returns are depicted by time series models, which lead to a prediction interval of future returns.
Shih-Feng Huang , Hsiang-Ling Hsu
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Real-Time Portfolio Management System Utilizing Machine Learning Techniques
IEEE Access, 2023 There are 1641 companies listed on the National Stock Exchange of India. It is undoubtedly infeasible for a retail investor to invest in all the stocks.
Prakash K. Aithal +4 more
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Project Portfolio Selection with the Maximization of Net Present Value [PDF]
Journal of Optimization in Industrial Engineering, 2013 Projects scheduling by the project portfolio selection, something that has its own complexity and its flexibility, can create different composition of the project portfolio.
Mostafa Nikkhah Nasab, Amir Abbas Najafi
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Portfolio selection using risk parity and factor analysis under markov regime-switching prope [PDF]
تصمیم گیری و تحقیق در عملیات, 2022 Purpose: Risk parity is one of the stock portfolio selection models that has received a lot of attention since the US national financial crisis in 2008. The philosophy of this model is to allocate an equal amount of portfolio risk between the assets.
Ebrahim Mirmohammadi +3 more
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Portfolio selection with higher moments [PDF]
Quantitative Finance, 2004 We propose a method for optimal portfolio selection using a Bayesian decision theoretic framework that addresses two major shortcomings of the Markowitz approach: the ability to handle higher moments and estimation error. We employ the skew normal distribution which has many attractive features for modeling multivariate returns.
Campbell R. Harvey +3 more
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MathematicsNobel Laureate Markowitz originates portfolio selection as the birth of modern finance. Nobel Laureate Sharpe implements portfolio selection and originates capital asset pricing models.
Yue Qi, Jianing Huang, Yixuan Zhu
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Designing a Multi-objective Stochastic programming model for portfolio selection [PDF]
مدیریت صنعتی, 2015 In traditional portfolio selection model coefficients often are certain and deterministic, but in real world these coefficients are probabilistic. So decision maker cannot estimate them exactly.
Alireza Sharifisalim +3 more
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Portfolio selection: a fuzzy-ANP approach
Financial Innovation, 2020 This study developed specific criteria and a fuzzy analytic network process (FANP) to assess and select portfolios on the Tehran Stock Exchange (TSE).
Masoud Rahiminezhad Galankashi +2 more
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Portfolio selection with heavy tails [PDF]
Journal of Empirical Finance, 2004 Consider the portfolio problem of choosing the mix between stocks and bonds under a downside risk constraint. Typically stock returns exhibit fatter tails than bonds corresponding to their greater downside risk. Downside risk criteria like the safety first criterion therefore often select corner solutions in the sense of a bonds only portfolio. This is
Namwon Hyung, Casper G. de Vries
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Project Portfolio Selection with Considering Interaction Between Projects using Particle Swarm Optimization (PSO) & Chaotic Dynamic [PDF]
چشمانداز مدیریت صنعتی, 2012 Given the complexity of the project implementation and resource constraints, the project portfolio selection is important for organization-s. Hence, many researchers have attempted to provide methods for portfolio selection and often obtained interesting
Hassan Farsijani +2 more
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