Financial returns exhibit stylized facts such as leptokurtosis, skewness and heavy-tailness. Regarding this behavior, in this paper, we apply multivariate generalized hyperbolic (mGH) distribution for portfolio modeling and performance evaluation, using conditional value at risk (CVaR) as a risk measure and allocating best weights for portfolio selection. Moreover, a robust portfolio optimizati...

The portfolio optimization is one of the fundamental problems in asset management that aims to reduce the risk of an investment by diversifying it into assets expected to fluctuate independently. A portfolio is a grouping of financial assets such as stocks, bonds, commodities, currencies and cash equivalents, as well as their funds counterparts, including mutual, exchange- traded and closed fun...

In this paper we develop a concrete and fully implementable approach to the optimization of functionally generated portfolios in stochastic portfolio theory. The main idea is optimize over family rank-based parameterized by an exponentially concave function on unit interval. This choice can be motivated long term stability capital distribution observed large equity markets allows us circumvent ...

This paper investigates a mean-variance portfolio selection problem in continuous time with fixed and proportional transaction costs. Utilizing the dynamic programming, the Hamilton-Jacobi-Bellman (HJB) equation is derived, and the explicit closed form solution is obtained. Furthermore, the optimal strategies and efficient frontiers are also proposed for the original mean-variance problem. Nume...

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) cite{26}. because of the long history of the development of foreign financial market, with a variety of financial derivatives, the ...

The portfolio selection problem is usually considered as a bicriteria optimization problem where a reasonable trade-off between expected rate of return and risk is sought. In the classical Markowitz model the risk is measured with variance, thus generating a quadratic programming model. The Markowitz model is frequently criticized as not consistent with axiomatic models of preferences for choic...

Portfolio theory assumes that investors accept risk. This means thatin the equal rate of return on the two assets, the assets were chosenthat have a lower risk level. Modern portfolio theory is accepted byinvestors who believe that they are not cope with the market. Sothey keep many different types of securities in order to access theoptimum efficiency rate that is close to the rate of return o...

In this paper we investigate a multi-objective portfolio selection model with three criteria: risk, return and liquidity for investors. Non-probabilistic uncertainty factors in the market, such as imprecision and vagueness of investors’ preference and judgement are simulated in the portfolio selection process. The liquidity of portfolio cannot be accurately predicted in the market, and thus is ...