Originating multiple-objective portfolio selection by counter-COVID measures and analytically instigating robust optimization by mean-parameterized nondominated paths [PDF]
Operations Research Perspectives, 2022 The COVID-19 pandemic is unleashing crises of humanity, economy, and finance. Portfolio selection is widely recognized as the foundation of modern financial economics.
Yue Qi +3 more
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Option Portfolio Selection with Generalized Entropic Portfolio Optimization [PDF]
Entropy, 2020 In this third and final paper of our series on the topic of portfolio optimization, we introduce a further generalized portfolio selection method called generalized entropic portfolio optimization (GEPO).
Peter Joseph Mercurio +2 more
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A Simple View on the Interval and Fuzzy Portfolio Selection Problems [PDF]
Entropy, 2020 In this paper, first we show that the variance used in the Markowitz’s mean-variance model for the portfolio selection with its numerous modifications often does not properly present the risk of portfolio.
Krzysztof Kaczmarek +2 more
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Bio-inspired Machine Learning for Distributed Confidential Multi-Portfolio Selection Problem [PDF]
Biomimetics, 2022 The recently emerging multi-portfolio selection problem lacks a proper framework to ensure that client privacy and database secrecy remain intact. Since privacy is of major concern these days, in this paper, we propose a variant of Beetle Antennae Search
Ameer Tamoor Khan +3 more
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Real-world datasets for portfolio selection and solutions of some stochastic dominance portfolio models [PDF]
Data in Brief, 2016 A large number of portfolio selection models have appeared in the literature since the pioneering work of Markowitz. However, even when computational and empirical results are described, they are often hard to replicate and compare due to the ...
Renato Bruni +3 more
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Mean-Variance-Skewness-Entropy Measures: A Multi-Objective Approach for Portfolio Selection
Entropy, 2011 In this study, we present a multi-objective approach based on a mean-variance-skewness-entropy portfolio selection model (MVSEM). In this approach, an entropy measure is added to the mean-variance-skewness model (MVSM) to generate a well‑diversified ...
Yeliz Mert Kantar, Ilhan Usta
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An online portfolio selection algorithm using beta risk measure and fuzzy clustering [PDF]
Mathematics and Modeling in Finance, 2023 An online portfolio selection algorithm has been presented in this research. Online portfolio selection algorithms are concerned with capital allocation to several stocks to maximize the portfolio return over the long run by deciding the optimal ...
Matin Abdi +2 more
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Mathematics, 2022 Portfolio selection is a major topic for investors to allocate their assets and maximize their profit under constrained risk. For uncertain investment behavior in a vagueness environment, some researchers have devoted themselves to this field of fuzzy ...
Kuen-Suan Chen +2 more
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Application of DEA-cross efficiency in portfolio selection of 20 reputable companies in the Iranian stock market. [PDF]
تصمیم گیری و تحقیق در عملیات, 2018 One of the problems in portfolio selection, is choosing a stock with conflicting and incomparable objectives such as return and risk. DEA cross efficiency is one of the most useful tools in assessing performance and prioritize a number of firms that ...
Mohammad Reza Alirezaee +2 more
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An Analysis of Centrality’s Features as a New Measure for Network Analysis, Risk Measurement & Portfolio Selection [PDF]
تحقیقات مالی, 2021 Objective: In network theory, centrality is a measure to estimate importance and influence of a special node to the whole network structure. The aim of this research is to investigate the characteristics of stock centrality and its reliability in risk ...
Saeed Fallahpour, Ali Ghahramani
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