this paper will investigate the optimum portfolio for an investor, taking into account 5 criteria. the mean variance model of portfolio optimization that was introduced by markowitz includes two objective functions; these two criteria, risk and return do not encompass all of the information about investment; information like annual dividends, s&p star ranking and return in later years which...

In this paper, we consider the problem of a decision maker who is concerned with the management of a portfolio over a finite horizon. The portfolio optimization problem involves portfolio rebalancing decisions in response to new information on market future prices of the risky assets. Rebalancing decisions are manifested in the revision of holdings through sales and purchases of assets. We assu...

The essence of portfolio formation is to reduce risk by means diversification, namely allocating a number funds various investment alternatives that are negatively correlated. To select returns in portfolio, you can use the Single Index Model and Markowitz Model. This study was conducted with aim comparing calculation which company portfolios provide good rate return small using based on sector...

Soccer spread betting is analysed using standard probabilistic methods assuming that goals are scored in a match according to Poisson distributions with constant means. A number of different possible forms of ‘edge’ (betting advantage) is identified. It is shown how the centre spreads of the more common bets in the ‘bet universe’ may be calculated. A more general question is then addressed, nam...

We consider the LU factorization of unsymmetric sparse matrices using a threephase approach (analysis, factorization and triangular solution). Usually the analysis phase first determines a set of potentially good pivot and then orders this set of pivots to decrease the fill-in in the factors. In this paper, we present a preprocessing algorithm that simultaneously achieves the objectives of sele...

The inclusion of transaction costs is an essential element of any realistic portfolio optimization. In this paper, we extend the standard portfolio problem to consider convex transaction costs that are incurred to rebalance an investment portfolio. Market impact costs measure the effect on the price of a security that result from an effort to buy or sell the security, and they can constitute a ...

Since Markowitz (1952) formulated the portfolio selection problem, many researchers have developed models aggregating simultaneously several conflicting attributes such as: the return on investment, risk and liquidity. The portfolio manager generally seeks the best combination of stocks/assets that meets his/ her investment objectives. The Goal Programming (GP) model is widely applied to financ...

The inclusion of transaction costs is an essential element of any realistic portfolio optimization. In this paper, we consider an extension of the standard portfolio problem in which convex transaction costs are incurred to rebalance an investment portfolio. In particular, we consider linear, piecewise linear, and quadratic transaction costs. The Markowitz framework of mean-variance efficiency ...

Investment Portfolio Management equities is based on the investor reasoning behavior minimizing risks and maximizing profits, benefits offered by Markowitz Portfolios Theory (TPM onwards). The goal to manage investment applying TPM determine from this one if a financial assets negotiated in Standard y Poor's 500 (SyP 500) deals with profits considering minimal variance. population was made 505 ...