The objective of our research is to build a statistical test that can evaluate different risks of a portfolio selection model with fuzzy data. The central points and radiuses of fuzzy numbers are used to determine the portfolio selection model, and we statistically evaluate the best return by a fuzzy statistical test. Empirical studies are presented to illustrate the risk evaluation of the port...

This paper discusses a class of linear programming problems with interval coefficients in both the objective functions and constraints. The noninferior solutions to such problems are defined based on two order relations between intervals, and can be found by solving a parametric linear programming problem. Considering the uncertain returns of assets in capital markets as intervals, we propose a...

In this paper, the researchers have proposed a multi-dimensional knapsack model for project capital budgeting problem in uncertain situation which has been modeled through fuzzy sets. The optimistic and pessimistic situations were considered and associated deterministic models were yielded. Numerical example has been supplied toillustrate the performance of proposed model. The results were prom...

Online portfolio selection research has so far focused mainly on minimizing regret defined in terms of wealth growth. Practical financial decision making, however, is deeply concerned with both wealth and risk. We consider online learning of portfolios of stocks whose prices are governed by arbitrary (unknown) stationary and ergodic processes, where the goal is to maximize wealth while keeping ...

Project portfolios for the annual maintenance of infrastructure assets may contain dozens of projects which are selected out of hundreds of candidate projects. When selecting these projects, it is necessary to account for multiple evaluation criteria, project interdependencies, and uncertainties about project performance as well as financial and other relevant constraints. In this paper, we rep...

In a financial market, the appreciation rates of stocks are statistically difficult to estimate, and typically only some confidence intervals in which the rates reside can be estimated. In this paper we study continuous-time portfolio selection under ambiguity, in the sense that the appreciation rates are only known to be in a certain convex closed set and the portfolios are allowed to be based...

in the portfolio selection problem, the manager considers several objectives simultaneously such as the rate of return, the liquidity and the risk of portfolios. these objectives are conflicting and incommensurable. moreover, the objectives can be imprecise. generally, the portfolio manager seeks the best combination of the stocks that meets his investment objectives. the imprecise goal program...

Selection of new projects is one of the major decision making activities in any company. Given a set of potential projects to invest, a subset which matches the company’s strategy and internal resources best has to be selected. In this paper, we propose a multicriteria model for portfolio selection of projects, where we take into consideration that each of the potential projects has several usu...

Methods for selecting a research and development (R&D) project portfolio have attracted considerable interest among practitioners and academics. This notwithstanding, the industrial uptake of these methods has remained limited, partly due to the difficulties of capturing relevant concerns in R&D portfolio management. Motivated by these difficulties, we develop Contingent Portfolio Programming (...

By optimizing its outsourcing strategy, a company faces the opportunity to lower the overall costs of its IT project portfolio. Without considering risk and diversification effects appropriately, companies make wrong decisions about how much of a project is reasonable to outsource. In this paper, we elaborate a model to identify a project’s optimal degree of outsourcing at a fixed price, consid...