As many data-driven fields, finance is rich in problems requiring high computational power and intelligent systems techniques. In particular, the problem of selecting an optimal financial portfolio can be conveniently represented as a constrained optimization problem or a decisionmaking problem. The aim of this paper is to show how to express the optimal portfolio selection problem from a decis...

Abstract: This paper is concerned with the single period portfolio that consists of holdings in n risky assets. The goal is to choose the optimal portfolio to maximize the expected value of the end of period wealth in the presence of transaction costs, while satisfying a set of constraints on the portfolio. The case of a portfolio optimization problem with fuzzy transaction costs is considered....

The liberalization and deregulation of the energy industry in the past decades have been significantly affected by changes in the strategies of energy firms. The traditionally used approach of cost minimization was no longer sufficient, risk and market behavior could no longer be ignored and the need for more appropriate optimization methods for uncertain environments was increased. Meanvarianc...

The paper considers robust optimization to cope with uncertainty about the stock return process in one period option hedging problems. The robust approach relates portfolio choice to uncertainty, making more cautious hedges when uncertainty is high. We represent uncertainty by a set of plausible expected returns of the underlying stocks and show that for this set the robust problem is a second ...

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 ...

In this paper, we propose a multi-objective evolutionary metaheuristic approach based on the Pareto Ant Colony Optimization (P-ACO) and non-dominated genetic sorting algorithms (NSGA II NSGA III) to solve bi-objective portfolio optimization problem. P-ACO is used select best assets composing efficient portfolio. Then, III are separately find proportional weights of budget allocated selected The...

In this paper we reconcile why it is possible that people in finance view conventional portfolio selection as a single criterion problem and people in multiple criteria optimization view it as a bi-criterion problem. We then show how, for more complex investors, the theory of mean-variance portfolio selection can be extended to include additional objectives such as dividends, liquidity, turnove...