In this paper, we address the problem of maximizing expected return subject to a worst case return constraint by composing a portfolio that may consist of cash, holdings in a stock market index and options on the index. We derive properties of optimal and feasible portfolios and present a linear programming model to solve the problem. The optimal portfolios have pay-off functions that reflect a...

We discuss optimal trading strategies for general utility functions in portfolios of cash and stocks subject to small proportional transaction costs. We present a new interpretation of scalings found by Soner, Shreve, and others. To leading order in the small transaction cost parameter, the free boundary problem for the expected utility’s value function is shown to be dual, in the sense of Lagr...

We discuss optimal trading strategies in the presence of small proportional transaction costs for general utility functions. We present a new interpretation of scalings found by Soner, Shreve, and others. To leading order in the small transaction cost parameter, the free boundary problem for the expected utility’s value function is shown to be dual, in the sense of Lagrange multipliers for opti...

We review recent results on the new concept of worst-case portfolio optimization, i.e. we consider the determination of portfolio processes which yield the highest worst-case expected utility bound if the stock price may have uncertain (down) jumps. The optimal portfolios are derived as solutions of non-linear differential equations which itself are consequences of a Bellman principle for worst...

In the present market, there are various kinds of financial products and derivatives designed for customers, most basic universal which stocks. However, while understanding how much profit risk that one stock can bring is relatively simple, it more difficult trickier to find out a suitable investment portfolio especially under particular circumstances. Therefore, this paper try build model figu...

We quantify the effect of a significant technological innovation, shale oil development, on asset prices. Using stock price changes on major news announcement days allows us to link aggregate stock price changes to shale development activity as well as other oil supply shocks. We exploit cross-sectional variation in industry portfolio returns on announcement days to construct a shale mimicking ...

The problem of maximizing the expected utility from terminal wealth is well understood in the context of a complete financial market. This paper studies the same problem in an incomplete market containing a bond and a finite number of stocks, whose prices are driven by a multidimensional Brownian motion process W. The coefficients of the bond and stock processes are adapted to the filtration (h...

This study applied a prediction-based portfolio optimization model to explore the results of portfolio predicament in the Tehran Stock Exchange. To this aim, first, the data mining approach was used to predict the petroleum products and chemical industry using clustering stock market data. Then, some effective factors, such as crude oil price, exchange rate, global interest rate, gold price, an...

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...

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...