<i>HADAPS</i>: Hierarchical Adaptive Multi-Asset Portfolio Selection

Portfolio Selection and Asset Pricing Models

Finance theory can be used to form informative prior beliefs in financial decision making. This paper approaches portfolio selection in a Bayesian framework that incorporates a prior degree of belief in an asset pricing model. Sample evidence on home bias and value and size effects is evaluated from an asset-allocation perspective. U.S. investors' belief in the domestic CAPM must be very strong...

A fuzzy random multi-objective approach for portfolio selection

In this paper, the portfolio selection problem is considered, where fuzziness and randomness appear simultaneously in optimization process. Since return and dividend play an important role in such problems, a new model is developed in a mixed environment by incorporating fuzzy random variable as multi-objective nonlinear model. Then a novel interactive approach is proposed to determine the pref...

A Hybrid Portfolio Asset Selection Strategy Using Genetic Algorithms (GA)

Using a Genetic Algorithm (GA), an artificial intelligence technique, this study proposes an user-interactive dynamic portfolio selection strategy using a decision support system that will generate an optimal investment mix of assets based on user selection by maximizing the return of the Sharpe Ratio, a measure of the excess return received on a portfolio for the increase of volatility by acqu...

A Portfolio Selection and Capital Asset Pricing Model

Stock Return Predictability, Conditional Asset Pricing Models and Portfolio Selection

I examine an investor’s portfolio allocation problem across multiple risky assets in the presence of return predictability when, in addition to the predictability evidence, the investor uses conditional asset pricing models to guide him in the portfolio selection decision. I also explore how the uncertainty associated with the model dynamics affects the investor’s optimal portfolio. To analyze ...