Markowitz model is the first modern formulation of portfolio optimization problem. Relyingon historical return of stocks as basic information and using variance as a risk measure aretow drawbacks of this model. Since Markowitz model has been presented, many effortshave been done to remove theses drawbacks. On one hand several better risk measures havebeen introduced and proper models have been ...

Selecting approaches with appropriate accuracy and suitable speed for the purpose of making decision is one of the managers’ challenges. Also investing decision is one of the main decisions of managers and it can be referred to securities transaction in financial markets which is one of the investments approaches. When some assets and barriers of real world have been considered, optimization of...

Institutional investors usually employ mean-variance analysis to determine optimal portfolio weights. Almost immediately upon implementation, however, the portfolio’s weights become sub-optimal as changes in asset prices cause the portfolio to drift away from the optimal targets. We apply a quadratic heuristic to address the optimal rebalancing problem, and we compare it to a dynamic programmin...

investment plays a vital role on economic growth. one of the main objectives of all countries is to achieve sustainable economic growth and development. nowadays, a considerable amount of activities performed by the managers and investors in general is to make a portfolio of assets effectively meeting demand goals. in this study, mean-variance markowitz model by cardinality constraints and also...

Quadratic programming can be seen both as a general approach to linear programming and a special class of nonlinear programming. Moreover, Quadratic Programming problems are of utmost importance in a variety of relevant practical fields, such as, portfolio selection. This work presents and develops a novel fuzzy-sets-based method that solves a class of quadratic programming problems with vaguen...