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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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Technological and Economic Development of Economy, 2019 Project portfolio selection has been the focus of many scholars in the last two decades. The number of studies on the strategic process has significantly increased over the past decade.
Vahid Mohagheghi +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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ChatGPT-Based Investment Portfolio Selection [PDF]
Operations Research Forum, 2023 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 ...
Oleksandr Romanko +2 more
semanticscholar +1 more source
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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Robust portfolio selection problems: a comprehensive review [PDF]
Operational Research, 2021 This paper reviews recent advances in robust portfolio selection problems and their extensions, from both operational research and financial perspectives.
A. Ghahtarani, A. Saif, A. Ghasemi
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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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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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Cardinality-constrained portfolio selection via two-timescale duplex neurodynamic optimization
Neural Networks, 2022 This paper addresses portfolio selection based on neurodynamic optimization. The portfolio selection problem is formulated as a biconvex optimization problem with a variable weight in the Markowitz risk-return framework.
Man-Fai Leung, Jun Wang, Hangjun Che
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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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