A natural approach to enhance portfolio diversification is rely on factor-risk parity, which yields the whose risk equally spread among a set of uncorrelated factors. The standard choice take variance as measure, and principal components (PCs) asset returns Although PCs are unique useful for dimension reduction, they an arbitrary choice: any rotation results in This problematic because we demon...

despite the growing use of evolutionary multi-objective optimization algorithms in different categories of science, these algorithms as a powerful tool in portfolio optimization and specially solving multi-objective portfolio optimization problem is still in its early stages. in this paper, moeas have been used for solving multi-objective portfolio optimization problem in tehran stock market. f...

The New Zealand Superannuation Fund (NZSF) is in the process of deciding upon the allocation of its portfolio, across asset types and countries. In response to this, the New Zealand Stock Exchange (NZX, 2003) has argued that a minimum of 20% of the NZSF portfolio should be invested into New Zealand equities. This paper has examined the arguments presented by the NZX. These arguments, and my res...

В данной статье сравниваются два подхода к формированию рискового портфеля ценных бумаг: модель Марковица и рыночная модель. На примере бумаг российского фондового рынка за период 03.01.2019-24.03.2021 гг. производится формирование оптимальных портфелей в зависимости от отношения инвестора риску. Сравнительный анализ характеристик портфелей, включая доходность, риск VaR проверка результатов на ...

This paper examines some performance measures to be considered as an alternative of the Sharpe Ratio. More specifically, we analyze allocation problems taking into consideration portfolio selection models based on different performance ratios. For each allocation problem, we compare the maximum expected utility observing all the portfolio selection approaches proposed here. We also discuss an e...