To create efficient funds appealing to a sector of bank clients, the objective of minimizing downside risk is relevant to managers of funds offered by the banks. In this paper, a case focusing on this objective is developed. More precisely, the scope and purpose of the paper is to apply the mean-semivariance efficient frontier model, which is a recent approach to portfolio selection of stocks w...

To examine post-retirement asset allocation, an extension to the classic Markowitz risk-return framework is suggested. Assuming that retirees make constant (real dollar) annual withdrawals from their portfolios, reward and risk measures are defined to be the mean and standard deviation of wealth remaining at end of life. Asset returns and time of death are both treated as random variables. Assu...

Many combinatorial optimization problems require the assignment of a set of variables in such a way that an objective function is optimized. Often, the objective function involves different criteria, and it may happen that the requirements are in conflict: assignments that are good wrt. one objective may behave badly wrt. another. An optimal solution wrt. all criteria may not exist, and either ...

Abstract—There are many issues are related with lifetime and coverage in wireless sensor networks (WSNs). We try to locate heterogeneous sensors and route the routing information for minimization of network cost, maximization of network lifetime. We aim at provide better connectivity and coverage among the sensor nodes. For this we propose mathematical formulations and use an optimal solution f...

A continuous-time mean-variance portfolio selection problem is studied where all the market coefficients are random and the wealth process under any admissible trading strategy is not allowed to be below zero at any time. The trading strategy under consideration is defined in terms of the dollar amounts, rather than the proportions of wealth, allocated in individual stocks. The problem is compl...

Abstract—Constructing a portfolio of investments is one of the most significant financial decisions facing individuals and institutions. In accordance with the modern portfolio theory maximization of return at minimal risk should be the investment goal of any successful investor. In addition, the costs incurred when setting up a new portfolio or rebalancing an existing portfolio must be include...

We compare asset allocations derived for cumulative prospect theory (CPT) based on two different methods: Maximizing CPT along the mean–variance efficient frontier and maximizing it without that restriction. We find that with normally distributed returns the difference is negligible. However, using standard asset allocation data of pension funds the difference is considerable. Moreover, with de...

Since Briec developed a family of the least distance based inefficiency measures satisfying weak monotonicity over weakly efficient frontier, the existence of a least distance based efficiency measure satisfying strong monotonicity on the strongly efficient frontier is still an open problem. This paper gives a negative answer to the open problem and its relaxed open problem. Modifying Briec’s i...