credit allocation through the usage of portfolio optimization mainly seeks tomaximize return and minimize the risk of the portfolio; but there are other importantissues including sustainable development which is important for government/publicsectors. this paper presents a novel credit allocation approach based on portfoliooptimization and investigates the effects of selected indicators of sust...

contrarian and momentum investing strategies are two techniques which are used in stock markets to enhance portfolio return. contrarian investing strategy states that stocks which had better performances in the past should be sold and stocks that had poor performances should be bought. in practice, this strategy is used for a package of stocks and for portfolio formation. the main objective of ...

This research introduces a new mixed-integer nonlinear goal program (MINLGP) with branch and bound constraints and a separable programming foundation. The motivation for creating the MINLGP algorithm is to advance the ability of portfolio managers facing multiple and hierarchical goals to simultaneously solve for an efficient portfolio with an optimal number of contingent claim contracts in ord...

one of the most important questions in islamic banking system is about the best method for calculating the interest rate of loans and deposits. this paper compares two methods : time- value method and economic value- added method and tries to answer this question that, based on the information gathered from the financial statements of a sample of the accepted firms in the iranian exchange marke...

In this paper, we examine the performance of an impact investing strategy using most ethical companies to build portfolio. We test time-series and cross-sectional returns portfolio, explore financial analyst coverage firms, run regressions analyze valuation firms. Our empirical results reveal that portfolio consisting firms has a higher risk-adjusted return have lower stock valuations than comp...

abstract portfolio definition is the most important decision for individuals and legal persons that invest in stock. the main objective of this paper is study and determination of optimal portfolio for stock of active food industrial company in tehran stock based on value at risk (var) index. for this purpose, we used weekly static of stock of active food industrial company in tehran from bahma...

In this paper we study delegated portfolio management when the manager’s ability to short-sell is restricted. Contrary to previous results, we show that under moral hazard, linear performance-adjusted contracts do provide portfolio managers with incentives to gather information. The risk-averse manager’s optimal effort is an increasing function of her share in the portfolio’s return. This resul...

Residential property has long been recognised as an important component in a household’s overall wealth. The sheer magnitude of purchasing a house has compelled households to commit a disproportionate amount of their funds to own a house, leaving little capital for other kinds of investment. The findings of this study show that an allocation between 50% to 65% of the available capital to reside...

Credit allocation through the usage of Portfolio optimization mainly seeks tomaximize return and minimize the risk of the portfolio; but there are other importantissues including sustainable development which is important for government/publicsectors. This paper presents a novel credit allocation approach based on portfoliooptimization and investigates the effects of selected indicators of sust...

despite the growing use of evolutionary multi-objective optimization algorithms in different categories of science, these algorithms as a powerful tool in portfolio optimization and specially solving multi-objective portfolio optimization problem is still in its early stages. in this paper, moeas have been used for solving multi-objective portfolio optimization problem in tehran stock market. f...