A Portfolio Theory Approach to Fishery Management

A Regret Minimization Approach in Product Portfolio Management with respect to Customers’ Price-sensitivity

In an uncertain and competitive environment, product portfolio management (PPM) becomes more challenging for manufacturers to decide what to make and establish the most beneficial product portfolio. In this paper, a novel approach in PPM is proposed in which the environment uncertainty, competitors’ behavior and customer’s satisfaction are simultaneously considered as the most important criteri...

Portfolio Management: Theory & Practice

A companion modeling approach applied to fishery management

Don Hoi Lord, a coastal wetland in the upper gulf of Thailand, is famous for the razor clam (Solen regularis), which is a source of food and income for local fishermen. However, the razor clam population is significantly decreasing so the aim of this study was to analyze the razor clam fishery and develop a management plan engaging the different stakeholders in collective discussions. A partici...

A Fuzzy Approach to Mean-CDaR Portfolio Optimization

This paper develops a bi-objective portfolio selection problem that maximizes returns and minimizes a risk measure called conditional Drawdown (CDD). The drawdown measures include the maximal Drawdown and Average Drawdown as its limiting case. The CDD family of risk functional is similar to conditional value at Risk (CVaR). In this paper, the fuzzy method has been used to solve the bi-objec...

Stochastic Portfolio Theory: A Machine Learning Approach

In this paper we propose a novel application of Gaussian processes (GPs) to financial asset allocation. Our approach is deeply rooted in Stochastic Portfolio Theory (SPT), a stochastic analysis framework introduced by Robert Fernholz that aims at flexibly analysing the performance of certain investment strategies in stock markets relative to benchmark indices. In particular, SPT has exhibited s...