Comonotonic approximations for optimal portfolio selection problems. [PDF]
We investigate multiperiod portfolio selection problems in a Black & Scholes type market where a basket of 1 riskless and m risky securities are traded continuously.
Kaas, R +4 more
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Portfolio Selection with minimum transaction lots: an approach with dual expected utility [PDF]
In this paper we analyse the portfolio selectionproblem with minimum transactionlots in the context of non-expected utility theory. We assume that the decisionmaker ranks the alternatives by using a specific DualExpectedUtility.
Floriana Filippini, Marisa Cenci
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Portfolio selection with growth optimization and downside protection [PDF]
This paper applies growth optimization with downside protection as a portfolio selection technique. The model is based on power-log utility functions that combine portfolio growth maximization with the behavioural tenets of prospect theory.
Lagerkvist, Carl Johan, Olson, Kent D.
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Application of Value at Risk Model in Technological Investment Portfolio Management - A Case in Iranian Petroleum Industry [PDF]
بهبود مدیریت, 2011 Technology portfolio is a rather recent and popular approach in the literature of technology management. The problem of technology portfolio management is to find the appropriate distribution of capital & resources among a set of technologies, provides ...
Sayed Farhang Fasihi +2 more
doaj
Efficient Frontier for Robust Higher-order Moment Portfolio Selection [PDF]
This article proposes a non-parametric portfolio selection criterion for the static asset allocation problem in a robust higher-moment framework. Adopting the Shortage Function approach, we generalize the multi-objective optimization technique in a four ...
Emmanuel Jurczenko +2 more
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Distance Measures for Portfolio Selection [PDF]
, 2017 The classical Markowitz approach to the portfolio selection problem (PSP) consists of selecting the portfolio that minimises the return variance for a given level of expected return. By solving the problem for different values of this expected return we obtain the Pareto efficient frontier, which is composed of non-dominated portfolios.
Andria, Joseph +2 more
openaire +2 more sources
Portfolio selection with time constraints and a rational explanation of insufficient diversification and excessive trading [PDF]
Private investors have limited time available for learning about stocks as they need to divide their time between stock analysis and work. This paper analyzes the influence of learning constraintsin the form of time constraints on portfolio selection and
Nietert, Bernhard, Dolzer, Armin
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Portfolio selection models: comparative analysis and applications to the Brazilian stock market [PDF]
This paper presents a comparison of three portfolio selection models, Mean-Variance (MV), Mean Absolute Deviation (MAD), and Minimax, as applied to the Brazilian Stock Market (BOVESPA).
Farias, Christiano Alves +2 more
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Tri-criterion inverse portfolio optimization with application to socially responsible mutual funds [PDF]
, 2014 We present a framework for inverse optimization in a Markowitz portfolio model that is extended to include a third criterion. The third criterion causes the traditional nondominated frontier to become a surface.
Steuer, Ralph E. +3 more
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On efficiency of mean-variance based portfolio selection in DC pension schemes [PDF]
We consider the portfolio selection problem in the accumulation phase of a defined contribution (DC) pension scheme. We solve the mean-variance portfolio selection problem using the embedding technique pioneered by Zhou and Li (2000) and show that it is ...
Elena Vigna
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