We address the problem of a private pension plan sponsor who has to decide the best pension funds that should be offered to the pension plan members. Starting from the analysis of the population of the plan in order to identify a set of representative subscribers, we focus on an individual optimal portfolio allocation in a pension perspective. Then, the optimal allocation for each representativ...

To examine post-retirement asset allocation, an extension to the classic Markowitz risk-return framework is suggested. Assuming that retirees make constant (real dollar) annual withdrawals from their portfolios, reward and risk measures are defined to be the mean and standard deviation of wealth remaining at end of life. Asset returns and time of death are both treated as random variables. Assu...

This paper describes a portfolio optimization system by using Neuro-Fuzzy framework in order to manage stock portfolio. It is great importance to stock investors and applied researchers. The proposed portfolio optimization approach Neuro-Fuzzy System reasoning in order to make a more yields from the stock portfolio, and hence maximize return and minimize risk of a stock portfolio through divers...

The popularity of data centers in scientific computing has led to new architectures, new workload structures, and growing customerbases. As a consequence, the selection of efficient scheduling algorithms for the data center is an increasingly costlier and more difficult challenge. To address this challenge, and contrasting previous work on scheduling for scientific workloads, we focus in this w...

C onservationists must make hard choices about where to invest limited resources for the protection of biological diversity. Numerous prioritization schemes have identified places where biodiversity is especially rich or risks are especially urgent (1). Application of return on investment (ROI) thinking promises to make conservation investments much more efficient by explicitly incorporating ec...

The joint existence of a lender of last resort and of a stock market is usually considered the sign of a developed financial infrastructure. This paper analyzes whether a securities market may play a role similar to that of a lender of last resort by being of assistance to a bank, which faces possible liquidity shortages. We examine which of these two institutions best prevents a bank’s liquidi...

Invasive species cause significant losses through their effect on agriculture, human health and the environment. Their importance has increased with time due to globalisation, as the spread of invasive species is facilitated by the increased movement of people, cargo and genetic material around the world. There is a vast literature on the economics of invasive species and their management. Here...

In the presence of skewness, portfolio selection requires to consider competing and conflicting objectives. We utilize polynomial goal programming to determine the optimal portfolio from emerging markets industries. The first part of this paper is concerned with an industry level analysis of the effects of portfolio selection when the skewness is taken into account. The second part of the paper...

OMID SHAKERNIA is a senior researcher at Research Affiliates, LLC, in Newport Beach, CA. [email protected] Traditional strategic asset allocation theory is deeply rooted in the mean–variance portfolio optimization framework developed by Markowitz [1952] for constructing equity portfolios. However, the mean–variance optimization methodology is diff icult to implement due to the challenges asso...

1. Overview..............................................................................................................................................................1 2. Research Accomplishments .................................................................................................................................3 Innovations in risk and economic modeling of counter-terrorism .......