This paper features an analysis of the effectiveness of a range of portfolio diversification strategies, with a focus on down-side risk metrics, as a portfolio diversification strategy in a European market context. We apply these measures to a set of daily arithmetically-compounded returns, in U.S. dollar terms, on a set of ten market indices representing the major European markets for a nine-y...

We propose a model for portfolio optimization extending the Markowitz mean–variance model. Based on cooperation with Standard and Poor s we use five specific objectives related to risk and return and allow consideration of individual preferences through the construction of decision-maker specific utility functions and an additive global utility function. Numerical results using customized local...

In Valiant’s model of evolution, a class of representations is evolvable iff a polynomialtime process of random mutations guided by selection converges with high probability to a representation as -close as desired from the optimal one, for any required > 0. Several previous positive results exist that can be related to evolving a vector space, but each former result imposes restrictions either...

Markowitz Model (MM) and Sharpe’s Single Index (SIM) are two classical practical models in portfolio theory. Currently the Chinese stock market is booming, therefore, it worth testing whether MM SIM can effectively spread risk security market. This paper establishes based on monthly observations of 10 stocks CSI300. During analysis process, there an additional optimization constraint that selli...

This study aims to determine the results of optimizing stock portfolios on Value30 and Growth30 indexes Indonesia Stock Exchange based Markowitz Model Sharpe Model. There are seven stocks that consistently listed index selected with code ADRO, BJBR, ELSA, ITMG, PTBA, PTPP, UNTR ACES, BBCA, BBRI, CPIN, ERAA, TBIG , TOWR. The data is taken from period January 2015 December 2021. Using model stock...