in this paper, the portfolio selection problem is considered, where fuzziness and randomness appear simultaneously in optimization process. since return and dividend play an important role in such problems, a new model is developed in a mixed environment by incorporating fuzzy random variable as multi-objective nonlinear model. then a novel interactive approach is proposed to determine the pref...

Multiobjective portfolio optimization problem is the portfolio process of the highest expected return among the various financial commodities of the capital market to meet the expected return objectives. And one of the most important and common management issues lies in determining the best portfolio out of a given set of investment proposals. As we know, modern portfolio theory provides a well...

The classical portfolio problem is a problem of distributing capital to a set of securities. By generalizing the set of securities to a set of investment strategies (or security-rule pairs), this study proposes an investment strategy portfolio problem, which becomes a problem of distributing capital to a set of investment strategies. Since the investment strategy portfolio problem can be formul...

Classical statistical models can solve the problem of portfolio optimization and can determine the efficient frontier of investment when there are few investable assets and constraints. But these models cannot easily solve optimization problems when we consider real-world constraints. Therefore, data mining techniques such as evolutionary algorithms are important in portfolio optimization. The ...

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...

We consider the problem of portfolio optimization in the presence of market impact, and derive optimal liquidation strategies. We discuss in detail the problem of finding the optimal portfolio under Expected Shortfall (ES) in the case of linear market impact. We show that, once market impact is taken into account, a regularized version of the usual optimization problem naturally emerges. We cha...

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...

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 ...