We present a novel online ensemble learning strategy for portfolio selection. The new strategy controls and exploits any set of commission-oblivious portfolio selection algorithms. The strategy handles transaction costs using a novel commission avoidance mechanism. We prove a logarithmic regret bound for our strategy with respect to optimal mixtures of the base algorithms. Numerical examples va...

in this paper, we consider portfolio selection problem in which security returns are regarded as fuzzy variables rather than random variables. we first introduce a concept of absolute deviation for fuzzy variables and prove some useful properties, which imply that absolute deviation may be used to measure risk well. then we propose two mean-absolute deviation models by defining risk as abs...

A typical problem arising in the financial planning for private investors consists in the fact that the initial investor’s portfolio, the one determined by the consulting process of the financial institution and the universe of instruments made available to the investor have to be matched/optimized when determining the relevant portfolio choice. We call this problem the three-portfolios matchin...

Portfolio management can be eeectuated through solutions to stochastic optimal control problems. Few problems of that kind can be solved analytically. A numerical method based on a simple Markovian approximation is described and applied to a classical optimal portfolio selection problem. Numerical solutions of varying degree of accuracy are obtained. Solutions are computed to a few important sp...

As many data-driven fields, finance is rich in problems requiring high computational power and intelligent systems techniques. In particular, the problem of selecting an optimal financial portfolio can be conveniently represented as a constrained optimization problem or a decisionmaking problem. The aim of this paper is to show how to express the optimal portfolio selection problem from a decis...

In this paper, we investigate the optimal consumption and portfolio selection problem with negative wealth constraints for an economic agent who has a quadratic utility function of consumption and receives a constant labor income. Due to the property of the quadratic utility function, we separate our problem into two cases and derive the closed-form solutions for each case. We also illustrate s...

We study the problem of optimal flexibility capacity portfolio selection by introducing a new notion of submodularity in correspondences, which extends the classical notion of submodular functions. In particular, we prove that the correspondence that maps flexible resources to the set of demands that they can process is submodular, and use the properties of submodular correspondences to compare...

We study in this paper the portfolio selection problem with a stock index and European style options on the index. A refined mean-variance methodology is adopted in the study. Single-stage and two-stage investment models are studied and solved. In the later case a scenario tree and stochastic programming formulation are used. Explicit forms of the optimal portfolio and its corresponding efficie...

We study the problem of optimal flexibility capacity portfolio selection by introducing a new notion of submodularity for correspondences, which extends the classical notion of submodular functions. In particular, we prove that the correspondence that maps flexible resources to the set of demands that they can process is submodular, and use the properties of submodular correspondences to compar...

In this paper we present a two-component portfolio selection problem under two types of uncertainties, i.e., probabilistic risk and possibilistic risk. We study the portfolio selection problem in mergers and acquisitions, M&As, and show the usability of the presented mixed model in portfolio selection of corporate acquisition targets. We view the total M&A value consisting of a stand-alone of a...