index tracking is the process of developing a portfolio that reproduces the performance of an index. the tracker portfolio has relatively good diversity and low turnover and low transaction costs. in this paper we applied a binary programming model for index tracking problem. in this model the number of assets for portfolio construction is defined by portfolio manager. the robust optimization f...

resource limitation in zero time may cause to some profitable projects not to be selected in project selection problem, thus simultaneous project portfolio selection and scheduling problem has received significant attention. in this study, budget, investment costs and earnings are considered to be stochastic. the objectives are maximizing net present values of selected projects and minimizing v...

The inclusion of transaction costs is an essential element of any realistic portfolio optimization. In this paper, we consider an extension of the standard portfolio problem in which transaction costs are incurred to rebalance an investment portfolio. The Markowitz framework of mean-variance efficiency is used with costs modelled as a percentage of the value transacted. Each security in the por...

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...

This paper describes the application of a simulated annealing approach to the solution of a complex portfolio selection model. The model is a mixed integer quadratic programming problem which arises when Markowitz classical mean–variance model is enriched with additional realistic constraints. Exact optimization algorithms run into difficulties in this framework and this motivates the investiga...

In this paper, a cardinality constrained mean-variance model is introduced for the portfolio optimization problems. This model is a mixed quadratic and integer programming problem for which efficient algorithms do not exist. The use of heuristic algorithms in this case is necessary. Some studies have investigated the cardinality constrained mean-variance model using heuristic algorithm. But alm...

On the basis of Markowitz mean-variance framework, a new optimal portfolio selection approach is presented. The portfolio selection model proposed in the approach includes the expected return, the risk, and especially a quadratic type transaction cost of a portfolio. Using this model may yield an optimal portfolio solution that maximizes return, and minimizes risk, as well as also minimizes tra...