Results 11 to 20 of about 423,008 (325)
Portfolio selection using R [PDF]
Yugoslav Journal of Operations Research, 2020 In this paper, we consider the Markowitz mean-variance model to minimize the risk on two assets and develop the program in R software to improve the performance of the model for two real stocks data with various combinations of the portfolios.
Mishra Rohan, Ram Bhagwat
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Portfolio Selection under Systemic Risk [PDF]
Journal of Money, Credit and Banking, 2020 AbstractThis paper proposes a modified Sharpe ratio to construct optimal portfolios under systemic events. The portfolio allocation problem is solved analytically under the absence of short‐selling restrictions and numerically when short‐selling restrictions are imposed.
WEIDONG LIN +2 more
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A Fuzzy Goal Programming Model for Efficient Portfolio Selection. [PDF]
Journal of Optimization in Industrial Engineering, 2017 This paper considers a multi-objective portfolio selection problem imposed by gaining of portfolio, divided yield and risk control in an ambiguous investment environment, in which the return and risk are characterized by probabilistic numbers.
Abolfazl Kazemi +2 more
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SAGE Open, 2020 Sustainable investment is typically fulfilled by screening of environmental, social, and governance (ESG); the screening strategies are practical and expedite sustainable-investment development.
Yue Qi, Xiaolin Li
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ChatGPT-Based Investment Portfolio Selection
Operations Research Forum, 2023 Abstract In this paper, we explore potential uses of generative AI models, such as ChatGPT, for investment portfolio selection. Trusting investment advice from Generative Pre-Trained Transformer (GPT) models is a challenge due to model "hallucinations", necessitating careful verification and validation of the output.
Romanko, Oleksandr +2 more
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Constrained Dynamic Mean-Variance Portfolio Selection in Continuous-Time
Algorithms, 2021 This paper revisits the dynamic MV portfolio selection problem with cone constraints in continuous-time. We first reformulate our constrained MV portfolio selection model into a special constrained LQ optimal control model and develop the optimal ...
Weiping Wu +3 more
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Application of fuzzy logic in portfolio management: evidence from Iranian researches [PDF]
Journal of Fuzzy Extension and Applications, 2020 Over the past decades, financial researchers have proposed different methods in portfolio selection, so that, Markwotiz [1] introduced risk and return criteria for a portfolio selection.
Meysam Kaviani, Seyed Fakhrehosseini
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Stock Portfolio Optimization Using a Combined Approach of Relative Robust Risk Parity [PDF]
Iranian Journal of Finance, 2021 Risk parity is perceived as one of the stock portfolio selection models that have received a lot of attention since the US financial crisis in 2008. The philosophy of this model is to allocate the same amount of portfolio risk between the constituent ...
Sayed Mohammad Ebrahim Mirmohammadi +3 more
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Portfolio selection using neural networks [PDF]
, 2005 In this paper we apply a heuristic method based on artificial neural networks in order to trace out the efficient frontier associated to the portfolio selection problem.
Alberto Fernández +11 more
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Alexandria Engineering Journal, 2022 The selection of an optimal project portfolio from multiple project proposals to implement management strategy is always a challenge task for project managers, especially, in the selection of large-scale and complicated projects.
Libiao Bai, Jieyu Bai, Min An
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