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Kyle Erwin and Andries Engelbrecht
Portfolio optimization is a multi-objective optimization problem (MOOP) with risk and profit, or some form of the two, as competing objectives. Single-objective portfolio optimization requires a trade-off coefficient to be specified in order to balance t...
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André Alves Portela Santos
Pág. 141 - 166
Robust optimization has been receiving increased attention in the recent few years due to the possibility of considering the problem of estimation error in the portfolio optimization problem. A question addressed so far by very few works is whether this ...
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Werry Febrianti, Kuntjoro Adji Sidarto and Novriana Sumarti
Portfolio optimization is an activity for balancing return and risk. In this paper, we used mean-variance (M-V) portfolio models with buy-in threshold and cardinality constraints. This model can be formulated as a mixed integer nonlinear programming (MIN...
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Wendy Wijaya and Kuntjoro Adji Sidarto
Portfolio optimization is a mathematical formulation whose objective is to maximize returns while minimizing risks. A great deal of improvement in portfolio optimization models has been made, including the addition of practical constraints. As the number...
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Zhenglong Li and Vincent Tam
Meta-heuristic algorithms have successfully solved many real-world problems in recent years. Inspired by different natural phenomena, the algorithms with special search mechanisms can be good at tackling certain problems. However, they may fail to solve ...
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Rodrigo T.N. Cardoso,Bruno Cândido Barroso,Mariana dos Santos de Oliveira,Felipe Dias Paiva
Pág. 26 - 46
Portfolio selection has been the subject of extensive studies in order to obtain increased returns, minimizing the investment risk. However, the most appropriate risk measure to be considered is still an open problem. The aim of this work is to study dif...
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David Quintana, Roman Denysiuk, Sandra Garcia-Rodriguez and António Gaspar-Cunha
Portfolio management based on mean-variance portfolio optimization is subject to different sources of uncertainty. In addition to those related to the quality of parameter estimates used in the optimization process, investors face a portfolio implementat...
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Ramesh Adhikari, Kyle J. Putnam and Humnath Panta
This paper examines the performance of a naïve equally weighted buy-and-hold portfolio and optimization-based commodity futures portfolios for various lookback and holding periods using data from January 1986 to December 2018. The application of Monte Ca...
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Adrian Millea and Abbas Edalat
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Younes Berouaga, Cherif El Msiyah and Jaouad Madkour
Portfolio optimization is a pertinent topic of significant importance in the financial literature. During the portfolio construction, an investor confronts two important steps: portfolio selection and portfolio allocation. This article seeks to investiga...
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Branimir Mocic
Pág. 65 - 78
Research Question: This paper investigates the performances of six portfolios constructed using robust optimization methods in the Serbian stock market. Motivation: Motivated by the lack of research that analyses the allocation strategies based on robust...
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Apichat Chaweewanchon and Rujira Chaysiri
With the advances in time-series prediction, several recent developments in machine learning have shown that integrating prediction methods into portfolio selection is a great opportunity. In this paper, we propose a novel approach to portfolio formation...
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Jules Clément Mba, Kofi Agyarko Ababio and Samuel Kwaku Agyei
This paper investigates the robustness of the conventional mean-variance (MV) optimization model by making two adjustments within the MV formulation. First, the portfolio selection based on a behavioral decision-making theory that encapsulates the MV sta...
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NACEUR RAHMANI, NACEUR KHELIL
Pág. Page:129 - 141Abstrac
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This paper investigates a novel optimization problem motivated by sparse, sustainable and stable portfolio selection. The existing benchmark portfolio via the Dantzig type optimization is used to construct a sparse, sustainable and stable portfolio. Base...
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Siamak Goudarzi,Mohammad Javad Jafari,Amir Afsar
Pág. 602 - 608
In today's dynamic business environment, in order to compete in the market, financial institutes are trying to find the best portfolio policy that in turn leads to an increase in the return and a decrease in the risk for the investors. The objective of t...
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Maj-Britt Nordfang and Mogens Steffensen
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Aylin Cevizci
Pág. 137 - 146
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Fathi Abid, Pui Lam Leung, Mourad Mroua and Wing Keung Wong
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