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...

This paper attempts to build an investment portfolio optimization model based on the typical transaction cost. First, shortages of current investment portfolio models are analyzed. By analyzing the changing process of the transaction cost in practical investments, the author introduces the non-concave and non-convex transaction cost function and the mean-variance model, and adopts the investmen...

The portfolio is a perfect combination of stock or assets, which an investor buys them. The objective of the portfolio is to divide the investment risk among several shares. Using non-parametric DEA and DEA-R methods can be of great significance in estimating portfolio. In the present paper, the efficient portfolio is estimated by using non-radial DEA and DEA-R models. By proposing non-radial m...

How is it possible to derive the superior IT investment portfolio? One main identified research objective in IT portfolio management (ITPM) is to manage a set of IT assets, similar to manage a financial portfolio to attain the superior return and risk. Among various IT assets, the investment in IT project is particularly critical. In finance, the concept of portfolio selectivity generally refer...

This paper considers a multi-objective portfolio selection problem imposed by gaining of portfolio, divided yield and risk control in an ambiguous investment environment, in which the return and risk are characterized by probabilistic numbers. Based on the theory of possibility, a new multi-objective portfolio optimization model with gaining of portfolio, divided yield and risk control is propo...

We advance the theory pertaining to IT governance and portfolio management. We specifically examine how the portfolio characteristics can influence IT investment allocation. We propose two portfolio characteristics – flexibility and diversity. We define the flexibility as the number of IT investment choice, and the diversity as the dissimilarity of IT investment choice. Using the Monte Carlo si...

A Fuzzy Behavioral Portfolio model (FBPM) is proposed for security investment with insufficient market information and uncertain emotion influence on investment return and risk. Based on the general behavioral portfolio theory, trapezoidal fuzzy number is employed to characterize investment return and risk. Text emotion analysis based on emotional lexicons is introduced to obtain the market inv...

This paper employs fuzzy set theory to solve the unintuitive problem of the Markowitz meanvariance MV portfolio model and extend it to a fuzzy investment portfolio selection model. Our model establishes intervals for expected returns and risk preference, which can take into account investors’ different investment appetite and thus can find the optimal resolution for each interval. In the empiri...