FALL 2000 T he risk/return trade-off has been a central tenet of portfolio management since the seminal work of Markowitz [1952]. The basic premise, that higher (expected) returns can only be achieved at the expense of greater risk, leads naturally to the concept of an efficient frontier. The efficient frontier defines the maximum return that can be achieved for a given level of risk or, altern...

To reduce risk in investment and at the same time optimize returns, it is necessary to establish a series of stocks that have high as well asto select stock with negative variance risk. In this research, an efficient frontier approach by Harry Markowitz will be applied JII shares during period 2009 - 2019 so portfolio low optimal return can formed return.

We introduce a cardinality constrained multi-objective optimization problem for generating efficient portfolios within a fuzzy mean-absolute deviation framework. We assume that the return on a given portfolio is modeled by means of LR-type fuzzy variables, whose credibility distributions collect the contemporary relationships among the returns on individual assets. To consider credibility measu...

Portfolio selection (optimization) problem is a very important and widely researched problem in the areas of finance and economy. Literature review shows that many methods and heuristics were applied to this hard optimization problem, however, there are only few implementations of swarm intelligence metaheuristics. This paper presents artificial bee colony (ABC) algorithm applied to the cardina...

This study centers on forecasting return and constructing proper portfolios with 5 typical assets rarely focused the Chinese A-share market. paper applies fittest ARIMA models for each of selected stocks to predict their trend returns in next 20 days. Besides, we create efficient frontier by Monte Carlo simulation under Markowitz’s Mean-Variance framework focus two portfolios, i.e., maximum Sha...