Portfolio optimization is a problem that lends itself naturally to multiobjective approaches, e.g., aimed to maximize the return of the investment, simultaneously minimizing the risk. The selection of an actual portfolio requires exercising a decision-making process on the set of efficient solutions thus obtained. In this work we consider the case in which knowledge of this selection criterion ...

Portfolio optimization is a problem that lends itself naturally to multiobjective approaches, e.g., aimed to maximize the return of the investment, simultaneously minimizing the risk. The selection of an actual portfolio requires exercising a decision-making process on the set of efficient solutions thus obtained. In this work we consider the case in which knowledge of this selection criterion ...

In this paper we reconcile why it is possible that people in finance view conventional portfolio selection as a single criterion problem and people in multiple criteria optimization view it as a bi-criterion problem. We then show how, for more complex investors, the theory of mean-variance portfolio selection can be extended to include additional objectives such as dividends, liquidity, turnove...

In the areas of investment research and applications, feasible quantitative models include methodologies stemming from soft computing for prediction of financial time series, multi-objective optimization of investment return and risk reduction, as well as selection of investment instruments for portfolio management, etc. Among all these, stock selection has long been identified as a challenging...

In the portfolio selection problem, the manager considers several objectives simultaneously such as the rate of return, the liquidity and the risk of portfolios. These objectives are conflicting and incommensurable. Moreover, the objectives can be imprecise. Generally, the portfolio manager seeks the best combination of the stocks that meets his investment objectives. The imprecise Goal Program...

a r t i c l e i n f o A single-period portfolio selection theory provides optimal tradeoff between the mean and the variance of the portfolio return for a future period. However, in a real investment process, the investment horizon is usually multi-period and the investor needs to rebalance his position from time to time. Hence it is natural to extend the single-period fuzzy portfolio selection...

Multi-asset portfolio selection is an asset allocation strategy involving a variety of assets. Adaptive investment strategies which consider the dynamic market characteristics individual assets and classes are vital for maximizing returns minimizing risks. We introduce HADAPS, novel computational method multi-asset utilizes Soft-Actor-Critic (SAC) framework enhanced with Hierarchical Policy Net...