In this work, the ability of the Dynamic Objectives Aggregation Methods to solve the portfolio rebalancing problem is investigated conducting a computational study on a set of instances based on real data. The portfolio model considers a set of realistic constraints and entails the simultaneously optimization of the risk on portfolio, the expected return and the transaction cost.

Nonlinear constrained programing problem (NCPP) has been arisen in diverse range of sciences such as portfolio, economic management etc.. In this paper, a multiobjective imperialist competitive evolutionary algorithm for solving NCPP is proposed. Firstly, we transform the NCPP into a biobjective optimization problem. Secondly, in order to improve the diversity of evolution country swarm, and he...

Robust optimization, one of the most popular topics in the field of optimization and control since the late 1990s, deals with an optimization problem involving uncertain parameters. In this paper, we consider the relative robust conditional value-at-risk portfolio selection problem where the underlying probability distribution of portfolio return is only known to belong to a certain set. Our ap...

Keywords: Survey LP computable mean-risk and mean-safety models Real features Transaction costs Exact and heuristic algorithms a b s t r a c t Markowitz formulated the portfolio optimization problem through two criteria: the expected return and the risk, as a measure of the variability of the return. The classical Markowitz model uses the variance as the risk measure and is a quadratic programm...

Modern portfolio theory is based on a rational investor choosing the proportions of assets in a portfolio so as to minimize risk and maximize the expected return. In this paper, we investigate the applicability of different stochastic search heuristics to the problem of finding the optimum portfolio. We compare their performance on two problems with known solutions. 1. Portfolio Optimization Gi...

In this paper, the portfolio selection problem is considered, where fuzziness and randomness appear simultaneously in optimization process. Since return and dividend play an important role in such problems, a new model is developed in a mixed environment by incorporating fuzzy random variable as multi-objective nonlinear model. Then a novel interactive approach is proposed to determine the pref...

Daily price limits are adopted by many securities exchanges in countries such as the USA, Canada, Japan and various other countries in Europe and Asia, in order to increase the stability of the financial market. These limits confine the price of the financial asset during all trading stages of any trading day to a range, usually determined based on the previous day’s closing price. In this pape...

Product portfolio management (PPM) is a critical decision-making for companies across various industries in today's competitive environment. Traditional studies on PPM problem have been motivated toward engineering feasibilities and marketing which relatively pay less attention to other competitors' actions and the competitive relations, especially in mathematical optimization domain. The key c...

Portfolios of assets whose returns have the Gaussian mixture distribution are optimized in the static setting to find portfolio weights and efficient frontiers using the probability of outperforming a target return and Hodges’ modified Sharpe ratio objective functions. The sensitivities of optimal portfolio weights to the probability of the market being in the distressed regime are shown to giv...