In contemporary credit portfolio management, the portfolio risk-return analysis of financial instruments using certain downside credit risk measures requires the computation of a set of Pareto-efficient portfolio structures in a non-linear, non-convex setting. For real-world problems, additional constraints, e. g. supervisory capital limits, have to be respected. Particularly for formerly non-t...

In this paper, we propose a novel Two-level Particle Swarm Optimization (TLPSO) to solve the credit portfolio management problem. A two-date credit portfolio managem ent model is considered. The objective of the manager is to minimize the maximum expected loss of the portfolio subject to a given consulting budget constraint. The captured problem is very challenging due to its hierarchical struc...

Online portfolio selection (PS) has been extensively studied in artificial intelligence and machine learning communities in recent years. An important practical issue of online PS is transaction cost, which is unavoidable and nontrivial in real financial trading markets. Most existing strategies, such as universal portfolio (UP) based strategies, often rebalance their target portfolio vectors a...

The extensible, structural and validated nature of XML provides standard data representation for efficient data interchange among diverse information resources available on the Web. Therefore, it leads to its growing recognition in e-commerce and Internet-based information exchange. In this paper, we stress the adoption of XML technology in developing efficient and flexible Web-enabled decision...

The stochastic nature of financial markets is a barrier for successful portfolio management. Besides traditional Markowitz’s model, many other portfolio selection models in Bayesian and Non-Bayesian frameworks have been developed. Starting with the basic Markowitz model, several cardinal models are used to find optimum portfolios with select stock set. Having developed the regression model of t...

This paper studies a continuous-time market where an agent, having specified an investment horizon and a targeted terminal mean return, seeks to minimize the variance of the return. The optimal portfolio of such a problem is called mean-variance efficient à la Markowitz. It is shown that, when the market coefficients are deterministic functions of time, a mean-variance efficient portfolio reali...

This paper investigates a stochastic optimal control problem with delay and of mean-field type, where the controlled state process is governed by a mean-field jump-diffusion stochastic delay differential equation. Two sufficient maximum principles and one necessary maximum principle are established for the underlying systems. As an application, a bicriteria mean-variance portfolio selection pro...

Portfolio optimization involves the optimal assignment of limited capital to different available financial assets to achieve a reasonable trade-off between profit and risk. We consider an alternative Markowitz’s mean-variance model in which the variance is replaced with an industry standard risk measure, Value-atRisk (VaR), in order to better assess market risk exposure associated with financia...

We present a structural jump-diffusion credit-portfolio model which models the loss distribution and dependence structure of the portfolio dynamically. We are able to obtain the log-asset correlation analytically and precise estimates of the term-structure of default correlations within the model. The models allows the simultaneous pricing of bonds, CDS and portfolio derivatives across all matu...

This paper presents portfolio selection problems with ambiguous returns assumed as “return is about ξ” which is neither estimated by randomness nor fuzziness. Portfolio selection problems in uncertain environment are formulated as nonlinear programming models based on uncertain programming approaches. Since there is no efficient solution method to solve these problems directly, original problem...