Recently, the economic crisis has resulted in instability in stock exchange market and this has caused high volatilities in stock value of exchanged firms. Under these conditions, considering uncertainty for a favorite investment is more serious than before. Multi-objective Portfolio selection (Return, Liquidity, Risk and Initial cost of Investment objectives) using MINMAX fuzzy goal programmin...

Portfolio optimization is to find the stock portfolio minimizing the risk for a required return or maximizing the return for a given risk level. The seminal work in this field is the meanvariance model formulated as a quadratic programming problem. Since it is not computationally practical to solve the original model directly, a number of alternative models have been proposed. In this paper, am...

Data mining is being actively applied to stock market since 1980s. The various aspects of stock market to which data mining has been applied include predicting stock indices, predicting stock prices, portfolio management, portfolio risk management, trend detection, designing recommender systems etc. The various algorithms and methods which have been used for the same include neural networks, as...

We investigate a portfolio optimization problem under the threat of a market crash, where the interest rate of the bond is modeled as a Vasicek process, which is correlated with the stock price process. We adopt a non-probabilistic worst-case approach for the height and time of the market crash. On a given time horizon [0, T ], we then maximize the investor’s expected utility of terminal wealth...

This paper provides a simulation-based approach to optimal portfolio selection. We take a Bayesian approach as it naturally accounts for estimation risk, i.e., parameter uncertainty, learning of state variables and models, and can incorporate prior beliefs about future return distributions. We specifically highlight two implementations with great potential in portfolio selection. First, for com...

This paper examines portfolio choice, trading behavior, and realized rates of return following a panel of nearly seven thousand 401(k) retirement accounts during the April 1994-August 1998 time period. The distribution of equity allocations in the panel is strongly bi-modal: 48% of the average annual equity allocations in the panel are zero, while 22% of the allocations are 100%. The overall av...

The returns and risks of investment portfolio in stock market crashes are investigated by considering a theoretical model, based on a modified Heston model with a cubic nonlinearity, proposed by Spagnolo and Valenti. Through numerically simulating probability density function of returns and the mean escape time of the model, the results indicate that: (i) the maximum stability of returns is ass...