Risk management in this paper is focused on multivariate risk-return decision making assuming time-varying estimation. Empirical research in risk management showed that the static "mean-variance" methodology in portfolio optimization is very restrictive with unrealistic assumptions. The objective of this paper is estimation of time-varying portfolio stocks weights by constraints on risk measure...

Portfolio optimization is one of the most important issues for effective and economic investment. There is plenty of research in the literature addressing this issue. Most of these pieces of research attempt to make the Markowitz’s primary portfolio selection model more realistic or seek to solve the model for obtaining fairly optimum portfolios. An efficient frontier in the ...

DeMiguel, Garlappi, and Uppal (Review of Financial Studies, 22 (2009), 1915–1953) showed that in the stock market, it is difficult for an optimized portfolio constructed using meanvariance analysis to outperform a simple equally-weighted portfolio because of estimation error. In this paper, we demonstrate that portfolio optimization can be made to work in currency markets. The key difference be...

 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...

Stochastic Portfolio Theory is a flexible framework for analyzing portfolio behavior and equity market structure. This theory was introduced by E.R. Fernholz in the papers (Journal of Mathematical Economics, 1999; Finance & Stochastics, 2001) and in the monograph Stochastic Portfolio Theory (Springer 2002). It was further developed in the papers Fernholz, Karatzas & Kardaras (Finance & Stochast...

The portfolio optimization is one of the fundamental problems in asset management that aims to reduce the risk of an investment by diversifying it into assets expected to fluctuate independently. A portfolio is a grouping of financial assets such as stocks, bonds, commodities, currencies and cash equivalents, as well as their funds counterparts, including mutual, exchange- traded and closed fun...

Researchers in the field of portfolio optimization made efforts to decrease uncertainty future returns. Any disturbance parameter values causes solution be non-optimal or impossible. This study designs a strong fuzzy-multipurpose model for stock based on Tehran Stock Exchange market data. At end paper, created is compared with results multi-objective model. The show that fuzzy has relative stab...

Optimizing portfolio has been a popular topic since it was proposed because can reduce the investment risk. This study selected five active stocks from different industries, including Online E-Commerce, Commercial Banks, Motor Vehicles, Mobile Communication Production, and Telecommunications. Then they were allocated into kinds of portfolios, which are tangency portfolios minimum variance under...