In the framework of multispecies fisheries governance, main objective this paper is to apply modern portfolio theory (MPT) North-East Atlantic European fisheries, including all key commercial fish species subject total allowable catches (TAC) and quota regimes within EU. This done, first, quantifying inherent return risk potential portfolios and, secondly, estimating an individual constrained f...

projects scheduling by the project portfolio selection, something that has its own complexity and its flexibility, can create different composition of the project portfolio. an integer programming model is formulated for the project portfolio selection and scheduling.two heuristic algorithms, genetic algorithm (ga) and simulated annealing (sa), are presented to solve the problem. results of cal...

It is well-established that equity returns are not Normally distributed, but what should the portfolio manager do about this, and is it worth the effort? It is now feasible to employ better multivariate distribution families that capture heavy tails and skewness in the data; we argue that among the best are the Student t and skewed t distributions. These can be efficiently fitted to data, and s...

It is well-established that equity returns are not Normally distributed, but what should the portfolio manager do about this, and is it worth the effort? As we describe, there are now some good choices for multivariate modeling distributions that capture heavy tails and skewness in the data; we argue that among the best are the (Student) t and skewed t distributions. These can be efficiently ca...

This paper is about dotted representations of efficient frontiers. Dotted representations, as in portfolio selection, can often be the most practical way of communicating an efficient frontier. The most popular method is to minimize variance subject to fixed levels of expected ∗Corresponding author [email protected]

We investigate a continuous-time mean–variance portfolio selection problem. Different from the general stochastic dynamic programming approach, such as using Hamilton–Jacobi–Bellman (HJB) equation, this paper adopts the Lagrange duality method and the finite difference approach to derive explicit closed-form expressions for the efficient investment strategy and the mean–variance efficient front...

This paper discusses the asymptotic efficiency of estimators for optimal portfolios when returns are vector-valued non-Gaussian stationary processes. We give the asymptotic distribution of portfolio estimators ĝ for non-Gaussian dependent return processes. Next we address the problem of asymptotic efficiency for the class of estimators ĝ. First, it is shown that there are some cases when the as...