stock selection criteria play a key role in contrarian portfolio construction. the usual approach is applying cumulative return as stock selection criteria however applying this criterion leads to ranking stocks without considering investment risk. in this study, we analyze contrarian strategies that are based on reward–risk stock selection criteria in contrast to ordinary contrarian strategies...

Institute of Computational Modeling SB RAS, Academgorodok, Krasnoyarsk, Russia, 660036 e-mail: [email protected], phone +7 3912 495382 Abstract Risk measures are widely used in insurance pricing, portfolio selection, and in decision-making in general. Two prevalent classes of risk measures are expected utility (a dollar transform), and distorted probability (a probability transform). Both appro...

In this paper, we develop a novel goal programming model for solving a Value-at-Risk efficient portfolio selection problem. In this paper, the decision making processes in the financial problem take place in group settings where the most important decisions are made by groups of managers or experts whose preferences are often vague and cannot be estimated in exact numerical values. This paper p...

ITIL recommends implementing Service Portfolio Management as a way to actively manage IT investments, with transparency in its operations and spending. Selecting which and when projects should be executed is an important but complex task. It is all the more complex if one includes operational costs, which represent a significant component of the IT budget. We investigate techniques to provide d...

Suitable landfill site selection is a significant step in the integrated management of solid waste. Because of some dangerous industrial waste, landfill site selection is more important. The selection process should be considered different criteria. The purpose of this study was to determine the appropriate location of industrial waste landfill Razi complex by using Analytical Hierarchy Process...

The aim of this paper is to introduce a decision support system that ranks patents based on multiple expert evaluations. The presented approach starts with the creation of three value scenarios for each considered patent by each expert. These are used for the construction of individual fuzzy pay-off distribution functions for the patent value; a consensual fuzzy pay-off distribution is then det...

Abstract—This paper seeks to give a general idea of the universe of project portfolio management, from its multidisciplinary nature, to the many challenges it raises, passing through the different techniques, models and tools used to solve the multiple problems known. It is intended to contribute to the clarification, with great depth, of the impacts and relationships involved in managing the p...