This paper describes the DEA-based investment strategy for constructing of a stock portfolio in the Croatian stock market. The relative efficiency of the DMUs, which are in this case the selected stocks from Zagreb Stock Exchange, is obtained from the output oriented CCR and BCC models. The set of inputs consists of risk measures, namely return variance, Value at Risk (VaR) and beta coefficient...

   The present study is an attempt toward evaluating the performance of portfolios using mean-variance-skewness model with negative data. Mean-variance non-linear framework and mean-variance-skewness non- linear framework had been proposed based on Data Envelopment Analysis, which the variance of the assets had been used as an input to the DEA and expected return and skewness were the output. C...

In this article, we start with the brief description of the essence of geometric moment theory method for optimization of integrals due to Kemperman [1-3]. Then, we solve several new Moment problems with applications to stock market and financial Inathenlatics. That is, we give methods for optimal allocation of funds over stocks and bonds at maximum return. More precisely, we present here the o...

– Diversification of an investment into independently fluctuating assets reduces its risk. In reality, movements of assets are mutually correlated and therefore knowledge of cross-correlations among asset price movements are of great importance. Our results support the possibility that the problem of finding an investment in stocks which exposes invested funds to a minimum level of risk is anal...

A portfolio model to minimize the risk of falling under uncertainty is discussed. The risk of falling is represented by the value-at-risk of rate of return. Introducing the perception-based extension of the value-at-risk, this paper formulates a portfolio problem to minimize the risk of falling with fuzzy random variables. In the proposed model, randomness and fuzziness are evaluated respective...

for assessment of portfolio performance, it's crucial to adjust the return by the risk which is taken. so it seems undeniable that for measuring the risk-adjusted return of portfolio, we need an appropriate and developed model for risk and asset pricing. fama & french 3 factor model could explain several return anomalies. recent studies show that capital productivity effects on stock retur...

The cost of executive stock options to shareholders has become a focus of attention in ̄nance and accounting. The di±culty is that the value of these options depends on the exercise policies of the executives. Because these options are nontransferable, the usual theory does not apply. We analyze the optimal exercise policy for a utility-maximizing executive and indicate when the policy is chara...

the present study is an attempt toward evaluating the performance of portfolios using mean-variance-skewness model with negative data. mean-variance non-linear framework and mean-variance-skewness non- linear framework had been proposed based on data envelopment analysis, which the variance of the assets had been used as an input to the dea and expected return and skewness were the output. conv...

This paper examines optimal portfolios with discounted stochastic cash inflows (SCI). The cash inflows are invested into a market that is characterized by inflation-linked bond, a stock and a cash account. It was assumed that inflationlinked bond, stock and the cash inflows are stochastic and follow a standard geometric Brownian motion. The variational form of Merton portfolio strategy was obta...

Academic researchers and practitioners have proposed various stock-screening models that always contain more than one stock selecting rule and corresponding parameters. However, the criteria in traditional screening models employ crisp norms, which are unreasonable in reality. This paper proposes the fuzzy stock-screening model to select stocks in the portfolio. The screening rules consist of t...