Portfolio optimization requires the minimal risk with certain expected return. The risk structure of securities, such as their exposure to countries, industrial sectors, or commodity/factor, have to be characterized, and then the optimal weights of securities in a portfolio can be determined to minimize the exposure of the portfolio to any specific risk factor. Typically, the risk factors are n...

We introduce a new methodology that incorporates advanced higher moments evaluation in a new approach of the Portfolio Selection problem, supported by effective Computational Intelligence models. The Evolutional Portfolio Optimization System (EPOS) extracts hidden patterns out of the numerous accounting data and financial statements filtering misguiding effects such as noise or fraud, offering ...

this paper discusses the portfolio selection based on robust optimization. since the parameters values of the portfolio optimization problem such as price of the stock, dividends, returns, etc. of per share are unknown, variable and their distributions are uncertain because of the market and price volatility, therefore, there is a need for the development and application of methodologies for de...

We study the viability of different robust optimization approaches to multiperiod portfolio selection. Robust optimization models treat future asset returns as uncertain coefficients in an optimization problem, and map the level of risk aversion of the investor to the level of tolerance of the total error in asset return forecasts.We suggest robust optimization formulations of the multiperiod p...

Standard market risk optimization tools, based on assumptions of normality, are ineffective for credit risk. In this paper, we develop three scenario optimization models for portfolio credit risk. We first create the trade risk profile and find the best hedge position for a single asset or obligor. The second model adjusts all positions simultaneously to minimize the regret of the portfolio sub...

In recent years portfolio optimization models that consider more criteria than the standard expected return and variance objectives of the Markowitz model have become popular. For such models, two approaches to find a suitable portfolio for an individual investor are possible. In the multiattribute utility theory (MAUT) approach a utility function is constructed based on the investor’s preferen...