the portfolio is a perfect combination of stock or assets, which an investor buys them. the objective of the portfolio is to divide the investment risk among several shares. using non-parametric dea and dea-r methods can be of great significance in estimating portfolio. in the present paper, the efficient portfolio is estimated by using non-radial dea and dea-r models. by proposing non-radial m...

We introduce stochastic optimization problems involving stochastic dominance constraints. We develop necessary and sufficient conditions of optimality and duality theory for these models and show that the Lagrange multipliers corresponding to dominance constraints are concave nondecreasing utility functions. The models and results are illustrated on a portfolio optimization problem.

the present paper aimed at studying the current models of credit portfolio management. there are currently three types of models which consider the risk of credit portfolio: the structural models (moody's kmv model, and credit- metrics model), the intensity models (the actuarial models) and the econometric models (the macro-factors model). the development of these three types of models is based...

This paper describes a new method of bond portfolio optimization based on stochastic string models of correlation structure in bond returns. The paper shows how to approximate correlation function of bond returns, compute the optimal portfolio allocation using Wiener-Hopf factorization, and check whether a collection of bonds presents arbitrage opportunities.

Portfolio optimization is the process of making investment decisions on holding a set of financial assets to meet various criteria. A variety of investment assets around the world make this multi-faceted decision problem very complicated. Econometric and statistical models as well as machine learning and data mining techniques have been used by many researchers and analysts to propose heuristic...

In this paper we present a framework, i.e. a concept and design as well as results with a prototypical implementation of a metaheuristic-based decision support system PM-DSS c © for portfolio optimization and managing investment guidelines. PM-DSS c © can be used for active as well as passive fund management. 1 The general problem In this paper we present a framework, i.e. a concept and design ...

Conventionally, portfolio selection problems are solved with quadratic or linear programming models. However, the solutions obtained by these methods are in real numbers and difficult to implement because each asset usually has its minimum transaction lot. Methods considering minimum transaction lots were developed based on some linear portfolio optimization models. However, no study has ever i...

In this paper, we develop a distributionally robust portfolio optimization model where the robustness is to different dependency structures among the random losses. For a Fréchet class of distributions with overlapping marginals, we show that the distributionally robust portfolio optimization problem is efficiently solvable with linear programming. To guarantee the existence of a joint multivar...

The Markowitz model of portfolio optimization quantifies the problem in a lucid form of only two criteria: the mean, representing the expected outcome, and the risk, a scalar measure of the variability of outcomes. The classical Markowitz model uses the variance as the risk measure, thus resulting in a quadratic optimization problem. Following Sharpe’s work on linear approximation to the mean–v...