Since the 1960s, lots of scholars had begun to research in the portfolio selections based on the theory of mean-variance of Markowitz portfolio and relevant methods. All of these studies are under certainly of the assumption term, and then the researchers can get efficient set of portfolio selection. However, alone with the finance environment increasing of complexity, it is becoming more compl...

Large-scale optimization problems that seek sparse solutions have become ubiquitous. They are routinely solved with various specialized first-order methods. Although such methods often fast, they usually struggle not-so-well-conditioned problems. In this paper, variants of an interior point-proximal method multipliers proposed and analyzed for class. Computational experience on a variety proble...

Investment decision making is one of the key issues in financial management. Selecting the appropriate tools and techniques that can make optimal portfolio is one of the main objectives of the investment world. This study tries to optimize the decision making in stock selection or the optimization of the portfolio by means of the artificial colony of honey bee algorithm. To determine the effect...

Portfolio managers are typically constrained by turnover limits, minimum and maximum stock positions, cardinality, a target market capitalization and sometimes the need to hew to a style (such as growth or value). In addition, portfolio managers often use multifactor stock models to choose stocks based upon their respective fundamental data. We use multiobjective evolutionary algorithms (MOEAs)...

I examine an investor’s portfolio allocation problem across multiple risky assets in the presence of return predictability when, in addition to the predictability evidence, the investor uses conditional asset pricing models to guide him in the portfolio selection decision. I also explore how the uncertainty associated with the model dynamics affects the investor’s optimal portfolio. To analyze ...

In this study, we present a multi-objective approach based on a mean-varianceskewness-entropy portfolio selection model (MVSEM). In this approach, an entropy measure is added to the mean-variance-skewness model (MVSM) to generate a well-diversified portfolio. Through a variety of empirical data sets, we evaluate the performance of the MVSEM in terms of several portfolio performance measures. Th...

The research on service supply chain has attracted more and more focus from both academia and industrial community. In a service supply chain, the selection of supplier portfolio is an important and difficult problem due to the fact that a supplier portfolio may include multiple suppliers from a variety of fields. To address this problem, we propose a novel supplier portfolio selection method b...

This paper considers a problem of multi-period supply portfolio selection and execution with demand information updates. A supply portfolio specifies a buyer’s decision on selecting sourcing mix from among a group of suppliers. We develop a framework for optimal supply portfolio selection and execution. Further, we demonstrate that the optimal portfolio selection follows a base-stock policy and...