It is increasingly common for investors to demand a certain degree of compliance and commitment environmental, social governance (ESG) variables in their investments, without renouncing maximising returns with the minimum possible risk. In this paper, multi-objective optimisation model applied Dow Jones stocks used analyse construction portfolios taking into account level controversies each ass...

With the improvement of complex and uncertain finance environment, the difficulty of portfolio problem is increasing. Whether or not the projects is successfully selected, directly affects the development of the investment companies. This paper firstly talks about the finance conditions in single term investment and then extends the investment from one term to many terms. After that, a multi-pr...

the stock evaluation process plays an important role in portfolio selection because it is the prerequisite for investment and directly influences on the stock allocation. this paper presents a methodology based on data envelopment analysis for portfolio selection, decision making units which can be stocks or other financial assets. first, dmus efficiencies are computed based on input/output com...

In solving multi-objective optimization problems, evolutionary methods have been adequately applied to demonstrate that multiple Pareto-optimal solutions can be found in a single simulation run. In this paper, we discuss and put together various different classical generating methods which are either quite well-known or are in oblivion due to lack available resources and some of which were even...

In a multi-attribute combinatorial double auction (MACDA), sellers and buyers’ preferences over multiple synergetic goods are best satisfied. In recent studies in MACDA, it is typically assumed that bidders must know the desired combination (and quantity) of items and the bundle price. They do not address a package combination which is the most desirable to a bidder. This study presents a new p...

Constrained financial portfolio optimization is a challenging domain where the use of multiobjective evolutionary algorithms has been thriving over the last few years. One of the major issues related to this problem is the dependence of the results on a set of parameters. Given the nature of financial prediction, these figures are often inaccurate, which results in unreliable estimates for the ...

investors use different approaches to select optimal portfolio. so, optimal investment choices according to return can be interpreted in different models. the traditional approach to allocate portfolio selection called a mean - variance explains. another approach is markov chain. markov chain is a random process without memory. this means that the conditional probability distribution of the nex...

The aim of this paper is to apply the concept of robust optimization introduced by Bel-Tal and Nemirovski to the portfolio selection problems based on multi-stage scenario trees. The objective of our portfolio selection is to maximize an expected utility function value (or equivalently, to minimize an expected disutility function value) as in a classical stochastic programming problem, except t...

<p style='text-indent:20px;'>An optimization problem with moments information which suffers from distributional uncertainty can be handled through distributionally robust optimization. In this paper, we will consider multi-period portfolio selection since only moment of portfolios gathered in practice. We two different scenarios. One is that obtained exactly and the other one also uncerta...