short-selling prohibition has been one of the primary assumptions of markowitz mean-variance model. solving markowitz quadratic model creates investment efficient frontier by considering only two return and budget constraints. in order to develop a more realistic portfolio selection model, in this paper, a new mathematical model is developed to allow short-selling under some practical constrain...

Markowitz model is the first modern formulation of portfolio optimization problem. Relyingon historical return of stocks as basic information and using variance as a risk measure aretow drawbacks of this model. Since Markowitz model has been presented, many effortshave been done to remove theses drawbacks. On one hand several better risk measures havebeen introduced and proper models have been ...

In this paper, a novel prediction based mean-variance (PBMV) model has been proposed, as an alternative to the conventional Markowitz mean-variance model, to solve the constrained portfolio optimization problem. In the Markowitz mean-variance model, the expected future return is taken as the mean of the past returns, which is incorrect. In the proposed model, first the expected future returns a...

modern portfolio theory is based on harry markowitz's 1952 work on mean-variance portfolios. he stated that a rational investor should either maximize his expected return for a given level of risk, or minimize his risk for a given expected return. in this study the markowitz model with cardinality constraints was studied. we extend the standard model to include cardinality constraints that...

investment plays a vital role on economic growth. one of the main objectives of all countries is to achieve sustainable economic growth and development. nowadays, a considerable amount of activities performed by the managers and investors in general is to make a portfolio of assets effectively meeting demand goals. in this study, mean-variance markowitz model by cardinality constraints and also...

Abstract—Modern Portfolio Theory (MPT) according to Markowitz states that investors form mean-variance efficient portfolios which maximizes their utility. Markowitz proposed the standard deviation as a simple measure for portfolio risk and the lower semi-variance as the only risk measure of interest to rational investors. This paper uses a third volatility estimator based on intraday data and c...

The problem of portfolio optimization has made many advances since Markowitz proposed an average-variance-based optimization. It can be said that the most important achievement of the Markowitz model was the introduction of variance as a risk indicator and indeed, the introduction of a quantitative benchmark into it. This research is a model for predicting value at risk. This model extends the ...

Academics and practitioners optimize portfolios using the mean-variance approach far more often than the meansemivariance approach, despite the fact that semivariance is often considered a more plausible measure of risk than variance. The popularity of the mean-variance approach follows in part from the fact that mean-variance problems have well-known closed-form solutions, whereas meansemivari...

An insurance model, with realistic assumptions about coverage, deductible and premium, is studied. Insurance is shown to decrease the variance of the cost to the insured, but increase the expected cost, a tradeoff that places our model in the Markowitz mean–variance model.