This paper treats risk based on the notions of credibility measure and credibility expected value. Firstly, the paper derives and discusses the credibility expected value. Secondly, the paper presents a new method of analysis of possibilistic portfolios. The new step is a construction by which with a possibilistic portfolio one associates a probabilistic portfolio. The problem solving of possib...

criteria in household portfolio. to do this, the data which are related to the asset price are used including: bank deposit, bonds, stock, exchange, coin, land and housing in time period of 1997 to 2011. in this research, portfolio var id calculated in the confidence level of 90%, 95%, and 99% and in time periods of one year and 14 years. after calculating returns, return standard deviation, co...

With the aim of portfolio optimization and management, this article utilizes the Clayton-copula along with copula theory measures. Portfolio-Optimization is one of the activities in investment funds. Thus, it is essential to select an appropriate optimization method. In modern financial analyses, there is growing evidence indicating the distribution of proceeds of financial properties is not cu...

A translation portfolio is a systematic collection of student's translations or reports of tasks torepresent a variety of student's achievements in the translation course over a specified period oftime. This paper aims to investigate the effect of portfolio assessment in the translatingclassroom in an attempt to examine its impact on EFL learners' metacognitive awareness. Todetermine the impact...

The main purpose of this research is portfolio optimization in Tehran securities exchange using the black hole algorithm and the Gravitational Research algorithm. We also propose an algorithm named Hybrid Algorithm which combines the two algorithms above to cover the weaknesses of these two algorithms. Finally we compare the results with the Markowitz model and choose the optimal algorithm.<br ...

Projects scheduling by the project portfolio selection, something that has its own complexity and its flexibility, can create different composition of the project portfolio. An integer programming model is formulated for the project portfolio selection and scheduling.Two heuristic algorithms, genetic algorithm (GA) and simulated annealing (SA), are presented to solve the problem. Results of cal...

In investment market, investors often pay attention to investment portfolio selection and asset allocation under market risk. Thus, this study presents a two-stage method of investment portfolio based on soft computing techniques. The first stage uses data envelopment analysis to select most profitable funds, while hybrid of genetic algorithm (GA) and particle swarm optimization (PSO)is propose...

In this paper we propose to do portfolio management using reinforcement learning (RL) and independent factor model. Factors in independent factor model are mutually independent and exhibit better predictability. RL is applied to each factor to capture temporal dependence and provide investment suggestion on factor. Optimal weights on factors are found by portfolio optimization method subject to...

The tremendous growth in derivative markets around the world and the high quality of information about these instruments that is widely available, offers us a new opportunity harness their unique return distribution characteristics for building portfolios that conform more closely to investor preferences than is possible with mean-variance analysis and portfolio insurance techniques for downsid...

In this article we have reviewed ``Modern Portfolio Analysis'' and outlined some important topics for further research. Issues discussed include the history and future of portfolio theory, the key inputs necessary to perform portfolio optimization, speci®c problems in applying portfolio theory to ®nancial institutions, and the methods for evaluating how well portfolios are managed. Emphasis is ...