Recently, the economic crisis has resulted in instability in stock exchange market and this has caused high volatilities in stock value of exchanged firms. Under these conditions, considering uncertainty for a favorite investment is more serious than before. Multi-objective Portfolio selection (Return, Liquidity, Risk and Initial cost of Investment objectives) using MINMAX fuzzy goal programmin...

Portfolio optimization with respect to different risk measures is of interest to both practitioners and academics. For there to be a well-defined optimal portfolio, it is important that the risk measure be coherent and quasiconvex with respect to the proportion invested in risky assets. In this paper we investigate one such measure—conditional capital at risk—and find the optimal strategies und...

We study and compare the sensitivity to estimation error of portfolios optimized under various risk measures, including variance, absolute deviation, expected shortfall and maximal loss. We introduce a global measure of portfolio sensitivity and test the various risk measures by considering simulated portfolios of varying sizes N and for different lengths T of the time series. We find that the ...

A central problem in risk management is to identify the optimal combination (or portfolio) of actions that improves the reliability of the system most through reducing failure event probabilities, subject to the availability of resources. This optimal portfolio can be sensitive with regard to epistemic uncertainties about the failure events’ probabilities. In this paper, we develop an optimizat...

Creating networks of protected nature reserves is the primary means of reducing biodiversity loss. The principle focus of the reserve design literature is on determining which sites to reserve to maximise the number of species conserved. To each site is attached species which become conserved when the site is reserved. A good reservation policy is one that conserves as many species as possible....

Question: How does the risk of infectious disease transmission affect individual habitat selection decisions and the resulting spatial distributions of populations? Mathematical method: We use a differential equation model to describe disease dynamics in two habitats coupled by natal dispersal and use an evolutionary game theoretical approach to calculate the evolutionarily stable strategy for ...

This paper studies risk selection between public and private health insurance when some, but not all, individuals can opt out of otherwise mandatory public insurance. Using a theoretical model, I show that public insurance is adversely selected when insurers and insureds are symmetrically informed about health-related risks, and that there can be adverse or advantageous selection when insureds ...

nowadays organization especially r&d; centers are dealing with project portfolio selection decisions under uncertainty. moreover in the most of the past research, project portfolio selection and scheduling are often considered to be independent problem. this leads to insufficient result in real world. so in this research simultaneous project portfolio selection and scheduling problem is modelin...