This paper presents dynamic portfolio model based on the Merton's optimal investment-consumption model, which combines dynamic synthetic put option using risk-free and risky assets. This paper is extended version of methodological paper published by Yuan Yao (2012). Because of the long history of the development of foreign financial market, with a variety of financial derivatives, the study on ...

Investor decision making has always been affected by two factors: risk and returns. Considering risk, the investor expects an acceptable return on the investment decision horizon. Accordingly, defining goals and constraints for each investor can have unique prioritization. This paper develops several approaches to multi criteria portfolio optimization. The maximization of stock returns, the pow...

in recent years most of the research done on portfolio management have used different oplimizing models. this research has examined index models in optimizing portfolios and has tried to determine the efficient set. data are collected from companies accepted at the tehran stock exchange (1371-1375).

A novel method of stock portfolio management by using technical indicators is proposed in this paper. The method hybridizes the consensus trading signals generated by the gene expression programming (GEP) proposed by Lee et al., and the portfolio redemption scheme proposed by Tsai et al. with our stock ranking functions. The indicators were used not only for trading, but also for selecting prom...

In this article, we apply the mean-expected tail loss (ETL) portfolio optimization to the consensus temporary earnings forecasting (CTEF) data from global equities. The time series model with multivariate normal tempered stable (MNTS) innovations is used to generate the out-of-sample scenarios for the portfolio optimization. We find that (1) the CTEF variable continues to be of value in portfol...

In the traditional portfolio model, investors calculate the expected return of assets and the covariance matrix for optimal asset allocation. This paper divides market sentiment period into three states and selectes the securities in the Chinese stock market to construct portfolios. We implement both the Fama-French five-factor model and the robust median covariance matrix approach for predicti...

Multistage portfolio optimization models are difficult to solve when market risk is measured by Value-at-Risk (VaR), this paper proposes a soft method for solving VaR-based portfolio optimization models based on a soft optimization approach. In order to demonstrate the validity of the proposed soft method, we perform portfolio management experiments with real data from the New York stock market...