In the science of operation research and decision theory, selection is the most important process. Selection is a process that studies multiple qualitative and quantitative criteria, related to the science of management, which are mostly incompatible with each other. The multi criteria selection of a renewable energy portfolio is one of the main issues considered in multi criteria literatur...

In this research, we proposed a new metaheuristic technique for stock portfolio multi-objective optimization employing the combination of Strength Pareto Evolutionary Algorithm (SPEA), Adaptive Neuro-Fuzzy Inference System (ANFIS) and Arbitrage Pricing Theory (APT). To generate the more precise model, ANFIS has implemented to envisage long-term movement values of the Tehran Stock Exchange (TSE)...

Marketing managers can increase shareholder value by structuring a customer portfolio to reduce the vulnerability and volatility of cash flows. This article demonstrates how financial portfolio theory provides an organizing framework for (1) diagnosing the variability in a customer portfolio, (2) assessing the complementarity/similarity of market segments, (3) exploring market segment weights i...

This paper discusses the asymptotic efficiency of estimators for optimal portfolios when the returns are vector-valued Gaussian stationary processes. Then it is shown that the usual portfolio estimators are not asymptotically efficient if the returns are dependent. Numerical studies for the difference between the asymptotic variance of the portfolio estimators and the Cramer-Rao bound are given...

Over sixty years ago, Markowitz introduced the mean-variance efficient frontier to finance. While mean-variance is still the predominant model in portfolio selection, it has endured many criticisms. One serious one is that it does not allow for additional criteria. The difficulty is that the efficient frontier becomes a surface. With it now possible to compute such a surface, we provide an over...

The concept of efficient portfolios plays an important role in modern financial theory and practice. Although there is an extensive and growing literature that focuses on testing portfolio efficiency, outside of mean-variance optimization, which has several serious shortcomings, no systematic methodology for building efficient portfolios from inefficient indices has been developed. This paper a...

Most credit portfolio models currently used by the banking industry rely on Monte Carlo simulations for calculating the probability distribution of the future credit portfolio value, which can be quite computer time consuming. Adding market risk factors, such as stochastic interest rates or credit spreads, as additional ingredients of a credit portfolio model, the computational burden of full M...

Many methodologies have been introduced to deal with project portfolio selection problem including some techniques that help to evaluate individual projects, or to select a portfolio among available projects. This paper, however, provides several XML-based schemes for building efficient and flexible project portfolio selection systems based on an integrated portfolio selection model proposed. I...