The mean-variance theory of Markowitz (1952) indicates that large investment portfolios naturally provide better risk diversification than small ones. However, due to parameter estimation errors, one may find ambiguous results in practice. Hence, it is essential to identify relevant stocks to alleviate the impact of estimation error in portfolio selection. To this end, we propose a linkage cond...

In this paper, we discuss a multiperiod portfolio selection problem with fuzzy returns. We present a new credibilitic multiperiod mean semi- absolute deviation portfolio selection with some real factors including transaction costs, borrowing constraints, entropy constraints, threshold constraints and risk control. In the proposed model, we quantify the investment return and risk associated with...

The possible application of fuzzy sets theory in strategic management to the problem of portfolio matrices analysis, used for strategy alternative(s) formulation and selection is described. The values of membership functions of input variables into portfolio matrices are combined with di erent t-norms: (a) TM (x; y) = min(x; y); (b) TP(x; y) = xy; (c) Sugeno’s t-norms; (d) Hamacher’s t-norm fam...

this paper discusses the portfolio selection based on robust optimization. since the parameters values of the portfolio optimization problem such as price of the stock, dividends, returns, etc. of per share are unknown, variable and their distributions are uncertain because of the market and price volatility, therefore, there is a need for the development and application of methodologies for de...

There is a variety of models for portfolio selection. However, in portfolio theory applications little or no attention is paid to the cardinality problem. In this paper, an algorithm for dealing with this problem is presented. The proposed allocation algorithm is implemented in a software system, which is based on the Fuzzy Logic Q-measure Model and manages financial investments in real time. T...

In this paper we provide a survey of recent contributions to robust portfolio strategies from operations research and finance to the theory of portfolio selection. Our survey covers results derived not only in terms of the standard mean-variance objective, but also in terms of two of the most popular risk measures, mean-VaR and mean-CVaR developed recently. In addition, we review optimal estima...

In order to solve the portfolio problem when security returns are bifuzzy variables, firstly we propose a new definition of risk, then one type of portfolio selection based on expected value and risk is provided according to bifuzzy theory. Furthermore, a hybrid intelligent algorithm by integrating bifuzzy simulation and genetic algorithm is designed. Finally, one numerical experiment is provid...

in this paper, in order to optimize the portfolio consisting of selected industrial stocks of petroleum products, automobiles and parts, electrical industry and extraction of minerals from tehran stock exchange member, first, time – varying conditional covariance matrix has been estimated based on the following multivariate garch models: diagonal-vech (1,1), ccc (1,1) and diagonal -bekk (1,1). ...