portfolio theory assumes that investors accept risk. this means thatin the equal rate of return on the two assets, the assets were chosenthat have a lower risk level. modern portfolio theory is accepted byinvestors who believe that they are not cope with the market. sothey keep many different types of securities in order to access theoptimum efficiency rate that is close to the rate of return o...

The portfolio selection problem is clearly one of the most fundamental problems in the eld of computational nance. Given a set of say m stocks (one of which may be \cash"), the natural online problem is to determine a portfolio for the i th trading period based on the sequence of prices (or equivalently relative prices) for the preceding i ? 1 trading periods. There has been both a growing inte...

The literature on portfolio analysis assumes that the securities returns are random variables with fixed expected returns and variances values (see Bachelier [1], Briec et al. [4] and Markowitz [10]). However, since investors receive efficient or inefficient information from the real world, ambiguous factors usually exist in it. Consequently, we need to consider not only random conditions but a...

in this paper, the researchers have proposed a multi-dimensional knapsack model for project capital budgeting problem in uncertain situation which has been modeled through fuzzy sets. the optimistic and pessimistic situations were considered and associated deterministic models were yielded. numerical example has been supplied toillustrate the performance of proposed model. the results were prom...

This paper presents fast algorithms for calculating mean-variance efficient frontiers when the investor can sell securities short as well as buy long, and when a factor and/or scenario model of covariance is assumed. Currently, fast algorithms for factor, scenario, or mixed (factor and scenario) models exist, but (except for a special case of the results reported here) apply only to portfolios ...

return maximization or risk minimization is goal in portfolio optimization based on mean variance theory. the structure of correlation matrices and individual variance of each asset are two main factors in optimization with risk minimization object. it’s necessary to use appropriate variance and correlation coefficient for time series with clustering volatilities feature, too. in this research,...

This paper uses the concept of possibilistic risk aversion to propose a new approach for portfolio selection in fuzzy environment. Using possibility theory, the possibilistic mean, variance, standard deviation and risk premium of a fuzzy number are established. Possibilistic Sharpe ratio is defined as the ratio of possibilistic risk premium and possibilistic standard deviation of a portfolio. T...