This paper proposes a new method for combining forecasts based on complete subset regressions. For a given set of potential predictor variables we combine forecasts from all possible linear regression models that keep the number of predictors fixed. We explore how the choice of model complexity, as measured by the number of included predictor variables, can be used to trade off the bias and var...

In a mean-variance state investment managers must thoroughly specify portfolio risk to obtain full diversification and select investment options on the efficient frontier. However, diversification within real estate is not as costless as other financial assets such as stocks or bonds. The local nature of real estate implies that investment managers may need to specialize for simplicity or by po...

This paper examines a continuoustime mean-variance portfolio selection problem with stochastic salary and strategic consumption planning for a constant relative risk averse (CRRA) pension plan member (PPM) in the accumulation phase of a defined contribution (DC) pension plan. It was assumed that the flow of contributions made by the PPM are invested into a market that is characterized by a cash...

A number of variants of the classical Markowitz mean-variance optimization model for portfolio selection have been investigated to render it more realistic. Recently, it has been studied the imposition of a cardinality constraint, setting an upper bound on the number of active positions taken in the portfolio, in an attempt to improve its performance and reduce transactions costs. However, one ...

Abstract According to common measures of private capital mobilization, such as the shares foreign direct and portfolio investment in GDP, many low-income countries perform poorly attracting flows. However, these indicators do not account for differences economic characteristics across countries, thus cannot provide insights on countries’ performance relative their potential levels flows determi...

One of the greatest challenges facing life sciences companies is the ability to discover and develop new products, which will sustain their long-term economic growth. The problem is difficult because of intense competition, the availability of a large number of new product ideas and limited human and capital resources. The planning problem is exacerbated by the presence of significant uncertain...

The Steiner Travelling Salesman Problem (STSP) is a variant of the TSP that is suitable for instances defined on road networks. We consider an extension of the STSP in which the road traversal costs are both stochastic and correlated. This happens, for example, when vehicles are prone to delays due to rush hours, road works or accidents. Following the work of Markowitz on portfolio selection, w...

Many decisions involve both imprecise probabilities and intractable states of the world. Objective expected utility assumes unambiguous probabilities; subjective expected utility assumes a completely specified state space. This paper analyzes a third domain of preference: sets of consequential lotteries. Using this domain, we develop a theory of Knightian ambiguity without explicitly invoking a...

Constrained financial portfolio optimization is a challenging domain where the use of multiobjective evolutionary algorithms has been thriving over the last few years. One of the major issues related to this problem is the dependence of the results on a set of parameters. Given the nature of financial prediction, these figures are often inaccurate, which results in unreliable estimates for the ...

Abstract The optimum portfolio selection for an investor with particular preferences was proven to lie on the normalized efficient frontier between two bounds defined by the Ballestero (1998) bounding theorem. A deeper understanding is possible if the decision-maker is provided with visual and quantitative techniques. Here, we derive useful insights as a way to support investor?s decision-makin...