In many financial institutions, there is a well established practice of measuring the risk of their portfolios in terms of economic capital (cf., e.g. Dev, 2004). Measuring portfolio-wide economic capital, however, is only the first step towards active, portfolio-oriented risk management. For purposes like identification of concentrations, risk-sensitive pricing or portfolio optimization it is ...

In this paper we present a framework, i.e. a concept and design as well as results with a prototypical implementation of a metaheuristic-based decision support system PM-DSS c © for portfolio optimization and managing investment guidelines. PM-DSS c © can be used for active as well as passive fund management. 1 The general problem In this paper we present a framework, i.e. a concept and design ...

In this paper we present robust models for index tracking and active portfolio management. The goal of these models is to control the effect of statistical errors in estimating market parameters on the performance of the portfolio. The proposed models allow one to impose additional side constraints such as bounds on the portfolio holdings, constraints on the portfolio beta, limits on cash expos...

in recent years most of the research done on portfolio management have used different oplimizing models. this research has examined index models in optimizing portfolios and has tried to determine the efficient set. data are collected from companies accepted at the tehran stock exchange (1371-1375).

In this paper we construct robust models for active portfolio management in a market with transaction costs. The goal of these robust models is to control the impact of estimation errors in the values of the market parameters on the performance of the portfolio strategy. Our models can handle a large class of piecewise convex transaction cost functions and allow one to impose additional side co...

The debate over the value of active portfolio management has often centered on whether the average active manager is capable of producing returns that exceed expectations. We argue that a more useful way to frame this issue is to focus on identifying those managers who are the most likely to generate superior risk-adjusted returns (i.e., alpha) in the future. Using a style-classified sample of ...

a vast number of organizational projects as well as complexity of decision making process can cause particular challenges for project management and its leadership. in order to use organization assets and opportunities efficiently, it is necessary that manager implement a comprehensive multidimensional project portfolio management system that considers economic, social and technical details of ...