In many practical investment situations the amount of available memory on stock data is extremely huge. Thus many investors are attracted to base their decisions on the information "currently available in their minds" (see [1, 2]). In the present paper various risk measurement models having application in the investment management are discussed. First we explain the concept of mean variance eff...

The existence of mean-variance efficient positive portfolios – portfolios with no negative weights – is a key requirement for equilibrium in the Capital Asset Pricing Model (CAPM). Brennan and Lo (2010) define an “impossible frontier” as a frontier on which all portfolios have at least one negative weight. They prove that for randomly drawn covariance matrices the probability of obtaining an im...

Since investors have diverse risk motives for green investments, this paper uses data envelopment analysis (DEA) and simulation to accurately evaluate the efficiency of portfolios from perspective investors’ subjective risks accordingly provide suitable investment selection strategies. On one hand, integrates preferences with evaluation models under framework behavioral finance, then constructs...

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We study amulti-periodmean-variance portfolio selection problemwith an uncertain time horizon and serial correlations. Firstly, we embed the nonseparablemulti-period optimization problem into a separable quadratic optimization problemwith uncertain exit time by employing the embedding technique of Li and Ng 2000 . Then we convert the later into an optimization problem with deterministic exit ti...

Groundwater management in China has been facing challenges from both climate change and urbanization and is considered as a national priority nowadays. However, unprecedented uncertainty exists in future scenarios making it difficult to formulate management planning paradigms. In this paper, we apply modern portfolio theory (MPT) to formulate an optimal stage investment of groundwater contamina...

in this paper, linear data envelopment analysis models are used to estimate markowitz efficient frontier. conventional dea models assume non-negative values for inputs and outputs. however, variance is the only variable in these models that takes non-negative values. therefore, negative data models which the risk of the assets had been used as an input and expected return was the output are uti...

A continuous-time mean-variance portfolio selection problem is studied where all the market coefficients are random and the wealth process under any admissible trading strategy is not allowed to be below zero at any time. The trading strategy under consideration is defined in terms of the dollar amounts, rather than the proportions of wealth, allocated in individual stocks. The problem is compl...

1 We present efficient partial differential equation (PDE) methods for continuous time mean2 variance portfolio allocation problems when the underlying risky asset follows a stochastic 3 volatility process. The standard formulation for mean variance optimal portfolio allocation 4 problems gives rise to a two-dimensional non-linear Hamilton-Jacobi-Bellman (HJB) PDE. We 5 use a wide stencil metho...

Stochastic dominance (SD) has been identified as an important method for effi cient diversification. However, the SD rule is too rigid in that it remains silent on some obvious preferences between two distributions for most investors as pointed out by Leshno and Levy (2002). Thus the purpose of this paper is to derive an effi cient frontier according to generalized almost stochastic dominance (...