A Stochastic Portfolio Optimization Model with Bounded Memory

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

An Application of Functional Ito's Formula to Stochastic Portfolio Optimization with Bounded Memory

We consider a stochastic portfolio optimization model in which the returns of risky asset depend on its past performance. The price of the risky asset is described by a stochastic delay differential equation. The investor’s goal is to maximize the expected discounted utility by choosing optimal investment and consumption as controls. We use the functional Ito’s formula to derive the associated ...

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...

A Stochastic Portfolio Optimization Model with Complete Memory

In this paper we consider a portfolio optimization problem of the Merton’s type with complete memory over a finite time horizon. The problem is formulated as a stochastic control problem on a finite time horizon and the state evolves according to a process governed by a stochastic process with memory. The goal is to choose investment and consumption controls such that the total expected discoun...

Multi-period project portfolio selection under risk considerations and stochastic income

This paper deals with multi-period project portfolio selection problem. In this problem, the available budget is invested on the best portfolio of projects in each period such that the net profit is maximized. We also consider more realistic assumptions to cover wider range of applications than those reported in previous studies. A novel mathematical model is presented to solve the problem, con...