Maximization of utility and portfolio selection models

Project Portfolio Selection with the Maximization of Net Present Value

Projects scheduling by the project portfolio selection, something that has its own complexity and its flexibility, can create different composition of the project portfolio. An integer programming model is formulated for the project portfolio selection and scheduling.Two heuristic algorithms, genetic algorithm (GA) and simulated annealing (SA), are presented to solve the problem. Results of cal...

On utility maximization under convex portfolio constraints

Utility-Deviation-Risk Portfolio Selection

We here provide a comprehensive study of the utility-deviation-risk portfolio selectionproblem. By considering the first-order condition for the corresponding objective function, we firstderive the necessary condition that the optimal terminal wealth satisfying two mild regularity con-ditions solves for a primitive static problem, called Nonlinear Moment Problem. We then illustrate<...

Portfolio selection with probabilistic utility

We present a novel portfolio selection technique, which replaces the traditional maximization of the utility function with a probabilistic approach inspired by statistical physics. We no longer seek the single global extremum of some chosen utility function, but instead reinterpret the latter as a probability distribution of ‘optimal’ portfolios, and select the portfolio that is given by the me...

project portfolio selection with the maximization of net present value

projects scheduling by the project portfolio selection, something that has its own complexity and its flexibility, can create different composition of the project portfolio. an integer programming model is formulated for the project portfolio selection and scheduling.two heuristic algorithms, genetic algorithm (ga) and simulated annealing (sa), are presented to solve the problem. results of cal...