Related papers: Optimization Method for Interval Portfolio Selecti…
We are concerned with three types of uncertainties: probabilistic, possibilitistic and interval. By using possibility and necessity measures as an Interval Valued Probability Measure (IVPM), we present IVPM's interval expected values whose…
This paper discusses a nonlinear integral equation arising from portfolio selection with a class of time-inconsistent preferences. We propose a unified framework requiring minimal assumptions, such as right-continuity of market coefficients…
We extend the classical risk minimization model with scalar risk measures to the general case of set-valued risk measures. The problem we obtain is a set-valued optimization model and we propose a goal programming-based approach with…
This paper studies an optimal investing problem for a retiree facing longevity risk and living standard risk. We formulate the investing problem as a portfolio choice problem under a time-varying risk capacity constraint. We derive the…
In this paper, we solve the time inconsistent portfolio selection problem by using different utility functions with a moving target as our constraint. We solve this problem by finding an equilibrium control under the given definition as our…
This paper is concerned with portfolio optimization models for creating high-quality lists of recommended items to balance the accuracy and diversity of recommendations. However, the statistics (i.e., expectation and covariance of ratings)…
The construction of numerical value scales (or priority values) is a recurrent topic in decision-aiding research. However, in real contexts, uncertainty and limited cognitive precision often lead decision-makers to provide interval…
Quantifying extra functions, herein referred to as outcome functions, over optimal solutions of an optimization problem can provide decision makers with additional information on a system. This bears more importance when the optimization…
Interval linear programming provides a tool for solving real-world optimization problems under interval-valued uncertainty. Instead of approximating or estimating crisp input data, the coefficients of an interval program may perturb…
The portfolio optimization problem in which the variances of the return rates of assets are not identical is analyzed in this paper using the methodology of statistical mechanical informatics, specifically, replica analysis. We define two…
This study first reviews fuzzy random Portfolio selection theory and describes the concept of portfolio optimization model as a useful instrument for helping finance practitioners and researchers. Second, this paper specifically aims at…
This paper investigates a time-inconsistent portfolio selection problem in the incomplete mar ket model, integrating expected utility maximization with risk control. The objective functional balances the expected utility and variance on log…
Robust optimization is one of the fundamental approaches to deal with uncertainty in combinatorial optimization. This paper considers the robust spanning tree problem with interval data, which arises in a variety of telecommunication…
We present a framework for computing with input data specified by intervals, representing uncertainty in the values of the input parameters. To compute a solution, the algorithm can query the input parameters that yield more refined…
The main objective of this paper is to develop a martingale-type solution to optimal consumption--investment choice problems ([Merton, 1969] and [Merton, 1971]) under time-varying incomplete preferences driven by externalities such as…
Risk management is very important for individual investors or companies. There are many ways to measure the risk of investment. Prices of risky assets vary rapidly and randomly due to the complexity of finance market. Random interval is a…
This paper considers the optimal portfolio selection problem in a dynamic multi-period stochastic framework with regime switching. The risk preferences are of exponential (CARA) type with an absolute coefficient of risk aversion which…
We consider an expected utility maximization problem where the utility function is not necessarily concave and the time horizon is uncertain. We establish a necessary and sufficient condition for the optimality for general non-concave…
The sparse portfolio selection problem is one of the most famous and frequently-studied problems in the optimization and financial economics literatures. In a universe of risky assets, the goal is to construct a portfolio with maximal…
Integer variables allow the treatment of some portfolio optimization problems in a more realistic way and introduce the possibility of adding some natural features to the model. We propose an algebraic approach to maximize the expected…