In this paper, we deal with second-order stochastic dominance (SSD) portfolio efficiency with respect to all portfolios that can be created from a considered set of assets. Assuming scenario approach for distribution of returns several SSD portfolio efficiency tests were proposed. We introduce a δ-SSD portfolio efficiency approach and we analyze the stability of SSD portfolio efficiency and δ-S...

investment plays a vital role on economic growth. one of the main objectives of all countries is to achieve sustainable economic growth and development. nowadays, a considerable amount of activities performed by the managers and investors in general is to make a portfolio of assets effectively meeting demand goals. in this study, mean-variance markowitz model by cardinality constraints and also...

1. Abstract A product portfolio can be defined as the set of artifacts marketed by a corporation in order to meet its customer’s needs. The proliferation of products in a company’s portfolio can create inefficiencies due to the greater complexity and the corresponding effort required to design and manufacture the set of products. A methodology for efficiently reducing the number of products thr...

When organizations do not have well defined goals and constraints, traditional mixed integer programming MIP models are ineffective for portfolio selection. In such cases, some organizations revert to building project portfolios based on data envelopment analysis DEA relative efficiency scores. However, implementing the k most efficient projects until resources are expended will not always resu...

Using advanced techniques of econometrics and a metaheuristic optimization approach, this study attempts to evaluate the potential advantages of international portfolio diversification for East Asian international investors when investing in the Middle Eastern emerging markets. Overall, the results of both econometric and the metaheuristic optimization methods are supporting each other. Finding...

in this paper after a general literature review on the concept of efficient frontier (ef), an important inadequacy of the variance based models for deriving efs and the high necessity for applying another risk measure is exemplified. in this regard for this study the risk measure of lower partial moment of the first order is decided to replace variance. because of the particular shape of the pr...

In this paper, we introduce a new linear programming second-order stochastic dominance (SSD) portfolio efficiency test for portfolios with scenario approach for distribution of outcomes and a new SSD portfolio inefficiency measure. The test utilizes the relationship between CVaR and dual second-order stochastic dominance, and contrary to tests in Post [14] and Kuosmanen [7], our test detects a ...

A general equilibrium model with uncertainty and production externalities is studied. In absence of markets for externalities, we look for governances and conditions under which majority voting among shareholders is likely to give rise to efficient internalization. Two observations leed the analysis: On the one hand, the shareholders with the right incentives for efficient internalization are t...

Mathematical programming methods dominate in the portfolio optimization problems, but they cannot be used if we introduce a constraint limiting the number of different assets included in the portfolio. To solve this model some of the heuristics methods (such as genetic algorithm, neural networks and particle swarm optimization algorithm) must be used. In this paper we utilize binary particle sw...