Environmental modellers recurrently work with decisions where a portfolio of actions has to be formed to effectively address the overall situation at hand. When creating the portfolio, one needs to consider multiple objectives and constraints, identify promising action candidates and examine interactions among them. The area of portfolio decision analysis deals with such tasks. This paper revie...

In this paper, a cardinality constrained mean-variance model is introduced for the portfolio optimization problems. This model is a mixed quadratic and integer programming problem for which efficient algorithms do not exist. The use of heuristic algorithms in this case is necessary. Some studies have investigated the cardinality constrained mean-variance model using heuristic algorithm. But alm...

A memetic approach that combines a genetic algorithm (GA) and quadratic programming is used to address the problem of optimal portfolio selection with cardinality constraints and piecewise linear transaction costs. The framework used is an extension of the standard Markowitz mean–variance model that incorporates realistic constraints, such as upper and lower bounds for investment in individual ...

The construction of the best combination of investment instruments (investment portfolio) is a principal goal of investment policy. This is an optimization problem: select the best portfolio from all admissible portfolios. To approach this problem we have to choose the selection criterion first. The seminal paper of Markowitz [8] opened a new era in portfolio optimization. The paper formulated ...

Recently, several optimization approaches for portfolio selection have been proposed in order to alleviate the estimation error in the optimal portfolio. Among such are the normconstrained variance minimization and the robust portfolio models. In this paper, we examine the role of the norm constraint in the portfolio optimization from several directions. First, it is shown that the norm constra...

In 2014 the main tendency of Ukrainian economy was the losing of great deposit value. In this article we wish to explore a deposit portfolio structure in macroeconomic instability. We applied two approaches to the standard optimization portfolio: risk minimization for a given maximum return and return maximization for a given maximum risk. Of the two approaches to the standard optimization prob...

In this paper we develop tight bounds on the expected values of several risk measures that are of interest to us. This work is motivated by the robust optimization models arising from portfolio selection problems. The basic setting is to find a portfolio which maximizes (respectively minimizes) the expected utility (respectively disutility) values, in the midst of infinitely many possible ambig...

Portfolio optimization is one of the most important issues for effective and economic investment. There is plenty of research in the literature addressing this issue. Most of these pieces of research attempt to make the Markowitz’s primary portfolio selection model more realistic or seek to solve the model for obtaining fairly optimum portfolios. An efficient frontier in the ...

We consider the problem of portfolio selection, with transaction costs and constraints on exposure to risk. Linear transaction costs, bounds on the variance of the return, and bounds on different shortfall probabilities are efficiently handled by convex optimization methods. Problems with transaction costs that include a fixed fee, or discount breakpoints, cannot be directly solved by convex op...