Academic researchers and practitioners have proposed various stock-screening models that always contain more than one stock selecting rule and corresponding parameters. However, the criteria in traditional screening models employ crisp norms, which are unreasonable in reality. This paper proposes the fuzzy stock-screening model to select stocks in the portfolio. The screening rules consist of t...

The influence of changing economic environment leads the distribution of stock market returns to be time-varying. This requires a dynamic adjustment of the asset allocation in order to enjoy a conditionally optimal investment. In this context, we examine the improvement of the portfolio performance by simulating portfolio strategies that are conditioned on the Markov regime switching behavior o...

the purpose of resent research is to analysis and compares performance evaluation models of selected investment companies in tehran stock exchange market in the field of their portfolio management. the duration of research was between years 2009-2014. statistical society the research is consisting of all active investment companies in in tehran stock exchange market which were 30 companies. vol...

The general investment problem concerns the allocation of wealth among m assets (stocks) to generate high returns with low risk or uncertainty. Cover and Ordentlich consider this problem from an information theoretic perspective in the case where a side information sequence aids the investment decisions but no assumptions are made on the relative likelihoods (probabilities) of stock returns seq...

Stock portfolio selection is a classic problem in finance, and it involves deciding how to allocate an institution’s or an individual’s wealth to a number of stocks, with certain investment objectives (return and risk). In this paper, we adopt the classical Markowitz mean-variance model and consider an additional common realistic constraint, namely, the cardinality constraint. Thus, stock portf...

The present study is an attempt toward evaluating the performance of portfolios and asset selectionusing cross-efficiency evaluation. Cross-efficiency evaluation is an effective way of ranking decisionmaking units (DMUs) in data envelopment analysis (DEA). Conventional DEA models assume nonnegativevalues for inputs and outputs. However, we know that unlike return and skewness, varianceis the on...

Investor decision making has always been affected by two factors: risk and returns. Considering risk, the investor expects an acceptable return on the investment decision horizon. Accordingly, defining goals and constraints for each investor can have unique prioritization. This paper develops several approaches to multi criteria portfolio optimization. The maximization of stock returns, the pow...

There have been several efforts in the literature to extract as much information as possible from the financial networks. Most of the research has been concerned about the hierarchical structures, clustering, topology and also the behavior of the market network; but not a notable work on the network filtration exists. This paper proposes a stock market filtering model using the correlation - ba...