Results 171 to 180 of about 40,538 (215)
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Portfolio Selection Using Portfolio Committees
SSRN Electronic Journal, 2020The author proposes a committee approach to portfolio selection. Because each optimal portfolio is a combination of three basic elements—strategy, covariance matrix, and risk type—the author first augments the combination to 250 optimal portfolios at each estimation period.
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Portfolio Selection Models and Their Discrimination
International Journal of Operations Research and Information Systems, 2011The stochastic nature of financial markets is a barrier for successful portfolio management. Besides traditional Markowitz’s model, many other portfolio selection models in Bayesian and Non-Bayesian frameworks have been developed. Starting with the basic Markowitz model, several cardinal models are used to find optimum portfolios with select stock set.
Satadal Ghosh, Sujit Kumar Majumdar
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Behavioral Aspects in Portfolio Selection
2021We introduce elements of Cumulative Prospect Theory into the portfolio selection problem and then compare stock portfolios selected under the behavioral approach with those selected according to classical approaches, such as Mean Variance and Mean Absolute Deviation ones.
Barro, Diana +2 more
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On interval portfolio selection problem
Fuzzy Optimization and Decision Making, 2013zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Wu, Meng +3 more
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Mean-Expectile Portfolio Selection
Applied Mathematics & Optimization, 2019zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Hongcan Lin +2 more
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Cardinality Problem in Portfolio Selection
2013There is a variety of models for portfolio selection. However, in portfolio theory applications little or no attention is paid to the cardinality problem. In this paper, an algorithm for dealing with this problem is presented. The proposed allocation algorithm is implemented in a software system, which is based on the Fuzzy Logic Q-measure Model and ...
Penka V. Georgieva, Ivan P. Popchev
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The Optimal Selection of Small Portfolios
Management Science, 1983Portfolios that are risk-return efficient in the sense of Markowitz sometimes contain too many securities to be attractive to the small investor. An optimal portfolio subject to a size constraint can be found by an implicit enumeration algorithm, that is much faster than a previous approach and moreover allows the inclusion of securities whose β ...
B. Blog +3 more
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Portfolio Selection with Transaction Costs
Mathematics of Operations Research, 1990In this paper, optimal consumption and investment decisions are studied for an investor who has available a bank account paying a fixed rate of interest and a stock whose price is a log-normal diffusion. This problem was solved by Merton and others when transactions between bank and stock are costless.
M. H. A. Davis, A. R. Norman
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Portfolio selection and matching: a synthesis.
Insurance: Mathematics and Economics, 1992AbstractThis paper considers a general framework for the selection of assets to meet the liabilities of a life insurance or pension fund. This general framework contains the mean-variance efficient portfolios of modern portfolio theory as a special case. The paper also demonstrates how the portfolio selection and matching approach of Wise (1984a, 1984b,
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A Note on the Portfolio Selection Problem
Theory and Decision, 2005zbMATH Open Web Interface contents unavailable due to conflicting licenses.
PELLEREY, FRANCO, SEMERARO, PATRIZIA
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