Recently, the economic crisis has resulted in instability in stock exchange market and this has caused high volatilities in stock value of exchanged firms. Under these conditions, considering uncertainty for a favorite investment is more serious than before. Multi-objective Portfolio selection (Return, Liquidity, Risk and Initial cost of Investment objectives) using MINMAX fuzzy goal programmin...

We consider optimal portfolio selection problems in a possibilistic setting. Using the possibilistic framework, we can integrate more efficiently the experts’ knowledge and the investors’ subjective opinions into a portfolio selection model. In 2002 Carlsson, Fullér and Majlender considered portfolio selection problems under trapezoidal possibility distributions and presented an algorithm of co...

In this paper, we consider the problem of finding optimal portfolios in cases when the underlying probability model is not perfectly known. For the sake of robustness, a maximin approach is applied which uses a ”confidence set” for the probability distribution. The approach shows the tradeoff between return, risk and robustness in view of the model ambiguity. As a consequence, a monetary value ...

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The aim of this paper is to propose a portfolio selection methodology capable take into account asset tail co-movements as additional constraints in Markowitz model. We apply the observed time series 10 largest crypto assets, terms market capitalization, over period 20 September 2017–31 December 2020 (1200 daily observations). results indicate that portfolios selected considering risk are more ...