The stock evaluation process plays an important role in portfolio selection because it is the prerequisite for investment and directly influences on the stock allocation. This paper presents a methodology based on Data Envelopment Analysis for portfolio selection, decision making units which can be stocks or other financial assets. First, DMUs efficiencies are computed based on input/output, an...

Inspecting financial markets from a complex network perspective means to extract relationships and interdependencies from stock price time series. Correlation networks have been shown to adequately capture such dependence structures between financial assets. Moreover, researchers have observed modifications in the correlation structure between stock prices in the face of a market turbulence. Th...

While online convex optimization has emerged as a powerful large scale optimization approach, much of existing literature assumes a simple way to project onto a given feasible set. The assumption is often not true, and the projection step usually becomes the key computational bottleneck. Motivated by applications in risk-adjusted portfolio selection, in this paper we consider online quadratical...

recently, the economic crisis has resulted in instability in stock exchange market and this has caused high volatilities in stock value of exchanged firms. under these conditions, considering uncertainty for a favorite investment is more serious than before. multi-objective portfolio selection (return, liquidity, risk and initial cost of investment objectives) using minmax fuzzy goal programmin...

index tracking is the process of developing a portfolio that reproduces the performance of an index. the tracker portfolio has relatively good diversity and low turnover and low transaction costs. in this paper we applied a binary programming model for index tracking problem. in this model the number of assets for portfolio construction is defined by portfolio manager. the robust optimization f...

The presence of options in a portfolio fundamentally alters the portfolio’s risk and return profiles when compared to an all equity portfolio. In this paper, we advocate modeling a risk-based criterion for optioned portfolio selection and rebalancing problems. The criterion is inspired by Chicago Mercantile Exchange’s risk-based margining system which sets the collateralization requirements on ...

Portfolio optimization is to find the stock portfolio minimizing the risk for a required return or maximizing the return for a given risk level. The seminal work in this field is the meanvariance model formulated as a quadratic programming problem. Since it is not computationally practical to solve the original model directly, a number of alternative models have been proposed. In this paper, am...

A new approach was proposed to reformulate the biobjectives optimization model of portfolio management into an unconstrained minimization problem, where the objective function is a piecewise quadratic polynomial. We presented some properties of such an objective function. Then, a class of penalty algorithms based on the well-known conjugate gradient methods was developed to find the solution of...

This paper considers robust optimization to cope with uncertainty about the stock return process in one period portfolio selection problems involving options. The robust approach relates portfolio choice to uncertainty, making more cautious portfolios when uncertainty is high. We represent uncertainty by a set of plausible expected returns of the underlyings and show that for this set the robus...