This paper describes a portfolio optimization system by using Neuro-Fuzzy framework in order to manage stock portfolio. It is great importance to stock investors and applied researchers. The proposed portfolio optimization approach Neuro-Fuzzy System reasoning in order to make a more yields from the stock portfolio, and hence maximize return and minimize risk of a stock portfolio through divers...

return maximization or risk minimization is goal in portfolio optimization based on mean variance theory. the structure of correlation matrices and individual variance of each asset are two main factors in optimization with risk minimization object. it’s necessary to use appropriate variance and correlation coefficient for time series with clustering volatilities feature, too. in this research,...

Portfolio optimization problem has received a lot of attention from both researchers and practitioners over the last six decades. This paper provides an overview of the current state of research in portfolio optimization with the support of mathematical programming techniques. On top of that, this paper also surveys the solution algorithms for solving portfolio optimization models classifying t...

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...

It is a matter of common knowledge that traditional Markowitz optimization based on sample means and covariances performs poorly in practice. For this reason, diverse attempts were made to improve performance of portfolio optimization. In this paper, we investigate three popular portfolio selection models built upon classical meanvariance theory. The first model is an extension of the tradition...

This paper addresses about an approach that suggests for stock portfolio optimization using the combination of Adaptive Neuro-Fuzzy Inference System (ANFIS) and Capital Asset Pricing Model (CAPM). Stock portfolio optimization aims to determine which of the stocks to be added to a portfolio based on the investor’s needs, changing economic and market conditions. In order to construct an efficient...

this paper presents dynamic portfolio model based on the merton's optimal investment-consumption model, which combines dynamic synthetic put option using risk-free and risky assets. this paper is extended version of methodological paper published by yuan yao (2012) cite{26}. because of the long history of the development of foreign financial market, with a variety of financial derivatives, the ...

In this paper, we consider the problem of a decision maker who is concerned with the management of a portfolio over a finite horizon. The portfolio optimization problem involves portfolio rebalancing decisions in response to new information on market future prices of the risky assets. Rebalancing decisions are manifested in the revision of holdings through sales and purchases of assets. We assu...

in traditional portfolio selection model coefficients often are certain and deterministic, but in real world these coefficients are probabilistic. so decision maker cannot estimate them exactly. financial optimization is one of the most attractive areas in decision under uncertainty. in the portfolio selection problem the decision maker considers simultaneously conflicting objectives such as ra...