Portfolio-optimization models for small investors

نویسندگان
چکیده

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Overview of Portfolio Optimization Models

Finding the best way to optimize the portfolio after Markowitz's 1952 article has always been and will continue to be one of the concerns of activists in the investment management industry. Researchers have come up with different solutions to overcome this problem. The introduction of mathematical models and meta-heuristic models is one of the activities that has influenced portfolio optimizati...

متن کامل

Behavioral Optimization Models for Multicriteria Portfolio Selection

In this paper, behavioral construct of suitability is used to develop a multi-criteria decision making framework for portfolio selection. To achieve this purpose, we rely on multiple methodologies. Analytical hierarchy process technique is used to model the suitability considerations with a view to obtaining the suitability performance score in respect of each asset. A fuzzy multiple criteria d...

متن کامل

Histogram Models for Robust Portfolio Optimization

This paper presents numerical experiments solving complex robust portfolio optimization problems. The models we study are motivated by realistic considerations, and are in principle combinatorially difficult; however we show that using modern optimization methodology one can solve large, real-life cases quite efficiently. We consider classical mean-variance problems [M52], [M59] and closely rel...

متن کامل

Comparison of Portfolio Optimization for Investors at Different Levels of Investors' Risk Aversion in Tehran Stock Exchange with Meta-Heuristic Algorithms

The gaining returns in line with risks is always a major concern for market play-ers. This study compared the selection of stock portfolios based on the strategy of buying and retaining winning stocks and the purchase strategy based on the level of investment risks. In this study, the two-step optimization algorithms NSGA-II and SPEA-II were used to optimize the stock portfolios. In order to de...

متن کامل

Lexicographic goal programming approach for portfolio optimization

This paper will investigate the optimum portfolio for an investor, taking into account 5 criteria. The mean variance model of portfolio optimization that was introduced by Markowitz includes two objective functions; these two criteria, risk and return do not encompass all of the information about investment; information like annual dividends, S&P star ranking and return in later years which is ...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Mathematical Methods of Operations Research

سال: 2012

ISSN: 1432-2994,1432-5217

DOI: 10.1007/s00186-012-0408-3