Portfolio Selection under Median and Quantile Maximization

Project Portfolio Selection with the Maximization of Net Present Value

Projects scheduling by the project portfolio selection, something that has its own complexity and its flexibility, can create different composition of the project portfolio. An integer programming model is formulated for the project portfolio selection and scheduling.Two heuristic algorithms, genetic algorithm (GA) and simulated annealing (SA), are presented to solve the problem. Results of cal...

On utility maximization under convex portfolio constraints

project portfolio selection with the maximization of net present value

projects scheduling by the project portfolio selection, something that has its own complexity and its flexibility, can create different composition of the project portfolio. an integer programming model is formulated for the project portfolio selection and scheduling.two heuristic algorithms, genetic algorithm (ga) and simulated annealing (sa), are presented to solve the problem. results of cal...

Optimal mean-variance portfolio selection using Cauchy–Schwarz maximization

Fund managers highly prioritize selecting portfolios with a high Sharpe ratio. Traditionally, this task can be achieved by revising the objective function of the Markowitz mean-variance portfolio model and then resolving quadratic programming problems to obtain the maximum Sharpe ratio portfolio. This study presents a closed-form solution for the optimal Sharpe ratio portfolio by applying Cauch...

Dynamic Portfolio Selection under Capital-at-Risk∗

Portfolio optimization under downside risk while preserving the upside is of crucial importance to asset managers. In the Black-Scholes setting, we consider one such particular measure given by the notion of capital-at-risk. This paper generalizes the work of Emmer et al., 2001, to the case of time dependent parameters and investment strategies, i.e., continuous-time portfolio optimization, and...