The inclusion of transaction costs is an essential element of any realistic portfolio optimization. In this paper, we consider an extension of the standard portfolio problem in which transaction costs are incurred to rebalance an investment portfolio. The Markowitz framework of mean-variance efficiency is used with costs modelled as a percentage of the value transacted. Each security in the por...

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. For such problems, the globally optimal portfolio can be computed very rapidly. Portfolio optimization problems with tran...

We address the multi-period portfolio optimization problem with the constant rebalanc-ing strategy. This problem is formulated as a polynomial optimization problem (POP) by using a mean-variance criterion. In order to solve the POPs of high degree, we develop a cutting-plane algorithm based on semidefinite programming. Our algorithm can solve problems that can not be handled by any of known pol...

In low order-value optimization (LOVO) problems the sum of the r smallest values of a finite sequence of q functions is involved as the objective to be minimized or as a constraint. The latter case is considered in the present paper. Portfolio optimization problems with a constraint on the admissible Value-at-Risk (VaR) can be modeled in terms of LOVOconstrained minimization. Different algorith...

This paper will investigate the optimum portfolio for an investor, taking into account 5 criteria. The mean variance model of portfolio optimization that was introduced by Markowitz includes two objective functions; these two criteria, risk and return do not encompass all of the information about investment; information like annual dividends, S&P star ranking and return in later years which is ...

This paper deals with multi-period project portfolio selection problem. In this problem, the available budget is invested on the best portfolio of projects in each period such that the net profit is maximized. We also consider more realistic assumptions to cover wider range of applications than those reported in previous studies. A novel mathematical model is presented to solve the problem, con...

The problem of portfolio selection in investment concerns with minimizing the risk for a prespecified level of return. In this paper, the constraint on the level of return is fuzzified and the technique of fuzzy evolutionary programming is employed to select an optimal portfolio of securities with low risk and with highly acceptable level of total return. Experimental results show the method is...

The Markowitz model for single period portfolio optimization quantifies the problem by means of only two criteria: the mean, representing the expected outcome, and the risk, a scalar measure of the variability of outcomes. The classical Markowitz model uses the variance as the risk measure, thus resulting in a quadratic optimization problem. Following Sharpe’s work on linear approximation to th...

The mean-variance model proposed by Markowitz has received greatly acceptance as a practical methodology to manage portfolio selection, and has been widely extended in a variety of literatures. The aim of this paper is to extend the mean-variance model in uncertain decision systems. We present a new mean-TVaR model for portfolio selection when the returns of securities are described as uncertai...