this research aims to use var as a risk measure to find the optimum portfolio in tehran stock exchange. in this research var which is calculated with parametric method by using the 15 daily returns of 100 companies from march 21, 2001 to november 22, 2007 was added to the markowitz model of portfolio optimization as additional constraint. by changing the accepted var and accepted confidence lev...

The paper considers robust optimization to cope with uncertainty about the stock return process in one period option hedging problems. The robust approach relates portfolio choice to uncertainty, making more cautious hedges when uncertainty is high. We represent uncertainty by a set of plausible expected returns of the underlying stocks and show that for this set the robust problem is a second ...

This paper gives an asymptotic analysis of the mean-variance (Markowitz-type) portfolio selection under mild assumptions on the market behavior. Theoretical results show the rate of underperformance of the risk aware Markowitz-type portfolio strategy in growth rate compared to the log-optimal portfolio strategy, which does not have explicit risk control. Statements are given with and without fu...

where X and Y are random returns. The main innovation introduced by Markowitz is to measure the risk of a portfolio via the joint (multivariate) distribution of returns of all assets. Multivariate distributions are characterized by the statistical (marginal) properties of all component random variables and by their dependence structure. Markowitz described the former by the first two moments of...

Assessing risk assets is one of the most important research issues in the financial field. There are various pricing models of capital assets in financial. In many models, it is not possible to consider a lot of restrictions on portfolio selection. In this paper, for choosing optimal portfolios, taking into account the prosperity and recession periods, and the types of investors in terms of ris...

This paper first describes the analytic approach that Markowitz used in developing his portfolio theory. Developing a game-of-life simulation is a parallel approach for modelling individualfinancial management. To develop a realistic simulator will require deciding what goals are essential to the family planning process, formulating optimizable subproblems, using technology to interpret and rec...

In this paper we tackle the optimal portfolio selection problem (PSP). Many research has been made around this subject mainly in two ways, whether extending the Markowitz model by taking into account real-world constraints (floor-ceiling, class and cardinality) or introducing different risk measures like semivariance, value at risk, absolute desviation, etc. Here, we present the preliminary res...

Portfolio selection represents a challenge where investors look for the best firms of the market to be selected. This research presents a real world application at the Mexican Stock Exchange (La Bolsa) using a set of heuristic algorithms for portfolio selection. The heuristic algorithms (random, genetic, greedy, hill-climbing and simulated annealing) were implemented based on the Markowitz Mode...

Based on recent theoretical and empirical results about the significance of Cumulative Prospect Theory (CPT), we define RWcSD, an extended notion of stochastic dominance that accounts for both the reflection effect (R) and the probability weighting (Wc). A second definition of stochastic dominance (R∗W -SD) for preferences with reverse reflection effect (R*) as in Markowitz (1952) is presented....