Related papers: Multicriteria Portfolio Selection with Intuitionis…
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…
The purpose of this paper is to study a non-convex fuzzy multi-objective quadratic programming problem, in which both the technological coefficients and resources are fuzzy with nonlinear membership function. A computational procedure to…
The purpose of this paper is to point to the usefulness of applying a linear mathematical formulation of fuzzy multiple criteria objective decision methods in organising business activities. In this respect fuzzy parameters of linear…
Portfolio optimization involves selecting asset weights to minimize a risk-reward objective, such as the portfolio variance in the classical minimum-variance framework. Sparse portfolio selection extends this by imposing a cardinality…
Portfolio optimization is an important process in finance that consists in finding the optimal asset allocation that maximizes expected returns while minimizing risk. When assets are allocated in discrete units, this is a combinatorial…
In this paper we develop a concrete and fully implementable approach to the optimization of functionally generated portfolios in stochastic portfolio theory. The main idea is to optimize over a family of rank-based portfolios parameterized…
This paper presents an implementation of the Imperialist Competitive Algorithm (ICA) for solving the fuzzy random portfolio selection problem where the asset returns are represented by fuzzy random variables. Portfolio Optimization is an…
This paper investigates fuzzy nonlinear system equations using an optimization approach. Here, the inner-outer direct search technique is used with fuzzy coefficients and vectors to quantify the uncertain solution. The fuzzy nonlinear…
Each individual investor is different, with different financial goals, different levels of risk tolerance and different personal preferences. From the point of view of investment management, these characteristics are often defined as…
We establish the existence of minimizers in a rather general setting of dynamic stochastic optimization without assuming either convexity or coercivity of the objective function. We apply this to prove the existence of optimal portfolios…
This paper investigates projection-free algorithms for stochastic constrained multi-level optimization. In this context, the objective function is a nested composition of several smooth functions, and the decision set is closed and convex.…
Multi-objective portfolio optimisation is a critical problem researched across various fields of study as it achieves the objective of maximising the expected return while minimising the risk of a given portfolio at the same time. However,…
In this paper, a new method based on TOPSIS and optimization models is proposed for multi-attribute group decision-making in the environment of interval-valued intuitionistic fuzzy sets.Firstly, by minimizing the sum of differences between…
One of the reasons that higher order moment portfolio optimization methods are not fully used by practitioners in investment decisions is the complexity that these higher moments create by making the optimization problem nonconvex. Many few…
We consider the multi-objective mean-variance-skewness-kurtosis (MVSK) problem in portfolio selection, with and without shorting and leverage. Additionally, we define a sparse variant of MVSK where feasible portfolios have supports…
This survey reviews portfolio choice in settings where investment opportunities are stochastic due to, e.g., stochastic volatility or return predictability. It is explained how to heuristically compute candidate optimal portfolios using…
We study a goal-based portfolio selection problem in which an investor aims to meet multiple financial goals, each with a specific deadline and target amount. Trading the stock incurs a strictly positive transaction cost. Using the…
A highly relevant problem of modern finance is the design of Value-at-Risk (VaR) optimal portfolios. Due to contemporary financial regulations, banks and other financial institutions are tied to use the risk measure to control their credit,…
Portfolio optimization has been a major topic of research in finance, as it has a significant impact on investment profit. In this paper, we investigate the problem of data uncertainty in convex multi-objective portfolio optimization. We…
A new framework for portfolio diversification is introduced which goes beyond the classical mean-variance approach and portfolio allocation strategies such as risk parity. It is based on a novel concept called portfolio dimensionality that…