Efficient portfolio design is a principal challenge in modern computational finance. Optimization based on Markowitz two-objective mean-variance approach is computationally expensive for real financial world. Practical portfolio design introduces further complexity as it requires the optimization of multiple return and risk measures. Some of these measures are nonlinear and nonconvex. The probl...

Multistage portfolio optimization models are difficult to solve when market risk is measured by Value-at-Risk (VaR), this paper proposes a soft method for solving VaR-based portfolio optimization models based on a soft optimization approach. In order to demonstrate the validity of the proposed soft method, we perform portfolio management experiments with real data from the New York stock market...

We propose an improvement of the Approximated Projected Perspective Reformulation (APR) for dealing with constraints linking the binary variables. The new approach solves the Perspective Reformulation (PR) once, and then use the corresponding dual information to reformulate the problem prior to applying APR, thereby combining the root bound quality of the PR with the reduced relaxation computin...

Doç. Dr. Bilge BİLGEN 10:30 11:00 Integrated production scheduling and distribution planning in dairy supply chain by hybrid modelling Araş. Gör. Şebnem DEMİRKOL AKYOL 11:00 11:15 A Rule Based Constructive Randomized Search Algorithm for Solving ALWABP Araş. Gör. Alper HAMZADAYI 11:15 11:30 A hybrid complete rescheduling approach for dynamic m identical parallel machine scheduling problem with ...

In this study, a double-stage genetic optimization algorithm is proposed for portfolio selection. In the first stage, a genetic algorithm is used to identify good quality assets in terms of asset ranking. In the second stage, investment allocation in the selected good quality assets is optimized using a genetic algorithm based on Markowitz’s theory. Through the two-stage genetic optimization pr...

Portfolio optimization using private equity is typically based on one of three indices: listed private equity, transaction-based private equity, or appraisal value-based private equity indices. However, we show that none of these indices is fully suitable for portfolio optimization. We introduce here a new benchmark index for venture capital and buyouts, which is updated monthly, adjusted for a...

in order to use an islamic financial instrument, this paper intends to measure and evaluate negative and positive deviations from target rate of return in investment opportunity evaluation,that leads to presenting an upside potential- adjusted risk measure. this risk measure named upside potential adjusted risk measure (alpm) is generally applicable and provides assumptions of variance, downsid...

We consider the problem of constructing a portfolio of finitely many assets whose returns are described by a discrete joint distribution. We propose a new portfolio optimization model involving stochastic dominance constraints on the portfolio return. We develop optimality and duality theory for these models. We construct equivalent optimization models with utility functions. Numerical illustra...