In this paper we apply a heuristic method based on artificial neural networks in order to trace out the efficient frontier associated to the portfolio selection problem. We consider a generalization of the standard Markowitz mean-variance model which includes cardinality and bounding constraints. These constraints ensure the investment in a given number of different assets and limit the amount ...

We propose a computational procedure to find the efficient frontier for the standard Markowitz mean-variance model with discrete variables. The integer constraints limit on the one hand the portfolio to contain a predetermined number of assets and, on the other hand, the proportion of the portfolio held in a given asset. We adapt the multiobjective algorithm NSGA for solving the problem. The al...

In this article, we provide a new methodology for optimizing a portfolio of wind farms within a market environment, for two Market Designs (exogenous prices and endogenous prices). Our model is built on an agent based representation of suppliers and generators interacting in a certain number of geographic demand markets, organized as two tiered systems. Assuming rational expectation of the agen...

Dealing with uncertainty on financial markets is very difficult task. The investor’s decision is highly dependent on the selected criteria which should help him to select the best among available investment opportunities. Harry Markowitz, [12], introduced his mean-risk model more than 50 years ago where variance was used as the risk measure. Many other risk measures has been proposed since then...

Robust portfolio optimization has been developed to resolve the high sensitivity to inputs of the Markowitz mean-variance model. Although much effort has been put into forming robust portfolios, there have not been many attempts to analyze the characteristics of portfolios formed from robust optimization. We investigate the behavior of robust portfolios by analytically describing how robustness...

Im Zuge der Finanzkrise wurde deutlich, dass das Risiko in klassischen Modellen zur Portfoliotheorie deutlich unterschätzt wurde. Die Instabilität der relevanten Risikoparameter, also Korrelationen und Volatilitäten, führte dazu, dass Diversifikationseffekte überund somit Risiken unterschätzt wurden. Ziel dieses Beitrags ist es, Diversifikationseffekte in verschiedenen Marktphasen des letzten J...

The mean-variance formulation by Markowitz in 1956 and its efficient solution by Wolfe in 1959 paved a foundation for modern portfolio selection. In this work we start reviewing basic concepts about portfolio selection, showing one starting solution and then the mean-variance analysis proposed by Markowitz. We show an algorithm for efficient frontier derivation, proposed by Wolfe, and analyze t...