نتایج جستجو برای: portfolio optimization models

تعداد نتایج: 1204653  

2006
Enriqueta Vercher

Portfolio selection problem deals with how to form a satisfying portfolio, taking into account the uncertainty involved in the behavior of the financial markets. Markowitz (1952) established the relationship between the mean and variance of the investment in the framework of risk-return trade-off. Since then a variety of enlarged and improved models have been developed in several directions. So...

2006
Mei Yu Hiroshi Inoue Jianming Shi

In this paper, we discuss four models proposed by Konno, Cai, Teo and Markowitz respectively. Two groups of data (one from 33 securities over 72 months, the other from 63 securities over 120 months) are used to examine these models. Efficient frontiers are presented. The utility levels in the four models do not decrease at the same rate with the change of the risk-aversion factor. Cai’s model p...

2010
Gianfranco Guastaroba

In single-period portfolio optimization several facets of the problem may influence the goodness of the portfolios selected. Despite that, some of these facets are frequently ignored when the optimization problem is solved. In this thesis, we aim at investigating the impact of these facets on the optimization problem and on the performances of the portfolios selected. Firstly, we consider the p...

2013
M. Salahi F. Mehrdoust F. Piri

One of the most important problems faced by every investor is asset allocation. An investor during making investment decisions has to search for equilibrium between risk and returns. Risk ‎and ‎return are uncertain parameters in ‎the ‎suggested portfolio optimization models and should be estimated to solve the‎problem. The estimation might‎ lead ‎to ‎large ‎error in the final decision. One of t...

2007
John R. Birge Zhen Liu

Financial applications have a long history of including optimization, starting with Markowitz’s origin of the quadratic optimization model for determining an efficient portfolio to minimize variance for a given return. Portfolio optimization continues to be an active area with most applications focused on linear and quadratic optimization. General nonlinear optimization arises in this area, how...

2008
E. K. Zavadskas Cristinca Fulga Bogdana Pop

Abstract: This paper is concerned with the single period portfolio that consists of holdings in n risky assets. The goal is to choose the optimal portfolio to maximize the expected value of the end of period wealth in the presence of transaction costs, while satisfying a set of constraints on the portfolio. The case of a portfolio optimization problem with fuzzy transaction costs is considered....

2013
Mukesh Kumar MEHLAWAT M. K. Mehlawat

In this paper, behavioral construct of suitability is used to develop a multi-criteria decision making framework for portfolio selection. To achieve this purpose, we rely on multiple methodologies. Analytical hierarchy process technique is used to model the suitability considerations with a view to obtaining the suitability performance score in respect of each asset. A fuzzy multiple criteria d...

Journal: :Operations Research 2006
Frank Lutgens Jos F. Sturm Antoon W. J. Kolen

The paper considers robust optimization to cope with uncertainty about the stock return process in one period option hedging problems. The robust approach relates portfolio choice to uncertainty, making more cautious hedges when uncertainty is high. We represent uncertainty by a set of plausible expected returns of the underlying stocks and show that for this set the robust problem is a second ...

M. Sanei S. Navidi sh. Banihashemi,

Comprehensive methods must be used for portfolio optimization. For this purpose, financial data of stock companies, inputs and outputs variable, the risk measure and investor’s preferences must be considered. By considering these items, we propose a method for portfolio optimization. In this paper, we used financial data of companies for screening the stock companies. We used Conditional Value ...

2007
Daniel Bienstock

This paper presents numerical experiments solving complex robust portfolio optimization problems. The models we study are motivated by realistic considerations, and are in principle combinatorially difficult; however we show that using modern optimization methodology one can solve large, real-life cases quite efficiently. We consider classical mean-variance problems [M52], [M59] and closely rel...

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