The portfolio selection problem is usually considered as a bicriteria optimization problem where a reasonable trade-off between expected rate of return and risk is sought. In the classical Markowitz model the risk is measured with variance, thus generating a quadratic programming model. The Markowitz model is frequently criticized as not consistent with axiomatic models of preferences for choic...

In this paper we apply a heuristic method based on artificial neural networks in order to trace out the efficient frontier associated to the portfolio selection problem. We consider a generalization of the standard Markowitz mean-variance model which includes cardinality and bounding constraints. These constraints ensure the investment in a given number of different assets and limit the amount ...

We propose a computational procedure to find the efficient frontier for the standard Markowitz mean-variance model with discrete variables. The integer constraints limit on the one hand the portfolio to contain a predetermined number of assets and, on the other hand, the proportion of the portfolio held in a given asset. We adapt the multiobjective algorithm NSGA for solving the problem. The al...

Robust portfolios resolve the sensitivity issue identified as a concern in implementing mean-variance analysis. Because robust approaches are not widely used in practice due to a limited understanding regarding the portfolios constructed from these methods, we present an analysis of the composition of robust equity portfolios. We find that compared to the Markowitz mean-variance formulation, ro...

Dealing with uncertainty on financial markets is very difficult task. The investor’s decision is highly dependent on the selected criteria which should help him to select the best among available investment opportunities. Harry Markowitz, [12], introduced his mean-risk model more than 50 years ago where variance was used as the risk measure. Many other risk measures has been proposed since then...

Portofolio saham merupakan salah satu alternatif bagi investor dalam pengambilan keputusan investasi. Saham portofolio dapat dimodelkan ke model pemrograman kuadratik dengan menggunakan mean variance Markowitz yang diselesaikan metode Beale. Penelitian ini bertujuan untuk mencari hasil optimal dari saham. Data digunakan penelitian adalah data 10 perusahaan membagikan dividen terbesar kategori I...

In Valiant’s model of evolution, a class of representations is evolvable iff a polynomialtime process of random mutations guided by selection converges with high probability to a representation as -close as desired from the optimal one, for any required > 0. Several previous positive results exist that can be related to evolving a vector space, but each former result imposes restrictions either...

In the paper, we consider three quadratic optimization problems which are frequently applied in portfolio theory, i.e, the Markowitz mean-variance problem as well as the problems based on the mean-variance utility function and the quadratic utility. Conditions are derived under which the solutions of these three optimization procedures coincide and are lying on the efficient frontier, the set o...

the current study addresses an estimation of investor's optimal portfolio under conditions of uncertainty by using a combination of artificial neural network and markowitz models. for this purpose, such assets as stock prices, house prices, coin and bonds price are used with monthly data over the period 1378-1392. three variables including inflation uncertainty, oil uncertainty and free ma...