in financial matters, portfolio can be interpreted as a combination or a series of investments hold by an institution or a person. portfolio optimization is one of the most important concerns of investors for maximizing the portfolio in financial markets. the formation of portfolio is a vital and critical decision for the companies.  in fact, the selection of portfolio is to specify the capital...

After the initial design of a portfolio the fund manager is constantly confronted with the following decision problem of Portfolio Re-Optimization: Due to changes on the market the given portfolio has become infeasible because of violations to the investment guidelines and/or sub-optimal due to under-performance with respect to yield, risk etc. In this daily situation the fund manager has to re...

Portfolio insurance allows investors to recover, at maturity, a given percentage of their initial capital. This limits downside risk in falling markets. Besides, it allows some participation in rising markets. One of the standard portfolio insurance methods is the Constant Proportion Portfolio Insurance (CPPI). We analyse options on cushion associated to CPPI. This kind of Power options corresp...

We modify two popular methods in machine learning, regularization and cross-validation, for the portfolio optimization problem. First, we introduce performance-based regularization (PBR), where the idea is to constrain the sample variances of the estimated portfolio risk and return. The goal of PBR is to steer the solution towards one associated with less estimation error in the performance. We...

modern portfolio theory is based on harry markowitz's 1952 work on mean-variance portfolios. he stated that a rational investor should either maximize his expected return for a given level of risk, or minimize his risk for a given expected return. in this study the markowitz model with cardinality constraints was studied. we extend the standard model to include cardinality constraints that...

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...

We propose an anytime algorithm portfolio technique which allocates computational resources among sets of control parameter value settings for evolutionary algorithms. Meta-level optimization of the portfolios is enabled by applying a bootstrap sampling approach to a database of individual algorithm performance on instances from a problem distribution. Experiments with a genetic algorithm portf...

Portfolio selection is a financial decision problem faced by all investors. Pri­ vate investors, companies or financial institutions need to decide on how to invest in assets by selecting a portfolio according to some optimality criterion and under possible constraints. Expressed in mathematical terms, the port­ folio optimization problem involves quantities which are usually estimated from his...

In this paper, we revisit the portfolio optimization problems of the minimization/maximization of investment risk under constraints of budget and investment concentration (primal problem) and the maximization/minimization of investment concentration under constraints of budget and investment risk (dual problem) for the case that the variances of the return rates of the assets are identical. We ...

The portfolio optimization problem is the central problem of modern economics and decision theory; there is the Mean-Variance Model and Stochastic Dominance Model for solving this problem. In this paper, based on the second order stochastic dominance constraints, we propose the improved biogeography-based optimization algorithm to optimize the portfolio, which we called εBBO. In order to test t...