Portfolio Optimization with Ambiguous Correlation and Stochastic Volatilities

Robust portfolio selection with polyhedral ambiguous inputs

 Ambiguity in the inputs of the models is typical especially in portfolio selection problem where the true distribution of random variables is usually unknown. Here we use robust optimization approach to address the ambiguity in conditional-value-at-risk minimization model. We obtain explicit models of the robust conditional-value-at-risk minimization for polyhedral and correlated polyhedral am...

A Fuzzy Goal Programming Model for Efficient Portfolio Selection.

This paper considers a multi-objective portfolio selection problem imposed by gaining of portfolio, divided yield and risk control in an ambiguous investment environment, in which the return and risk are characterized by probabilistic numbers. Based on the theory of possibility, a new multi-objective portfolio optimization model with gaining of portfolio, divided yield and risk control is propo...

Using Genetic Algorithm in Solving Stochastic Programming for Multi-Objective Portfolio Selection in Tehran Stock Exchange

Investor decision making has always been affected by two factors: risk and returns. Considering risk, the investor expects an acceptable return on the investment decision horizon. Accordingly, defining goals and constraints for each investor can have unique prioritization. This paper develops several approaches to multi criteria portfolio optimization. The maximization of stock returns, the pow...

Introducing a Relational Network DEA Model with Stochastic Intermediate measures for Portfolio Optimization

Portfolio Optimization in Markets having Stochastic Rates

The Merton problem of optimizing the expected utility of consumption for a portfolio consisting of a bond and N stocks is considered when changes in the bond’s interest rate, in the mean return rates and in the volatilities for the stock price processes are modelled by a finite-state Markov chain. This paper establishes an equivalent linear programming formulation of the problem. Two cases are ...