This paper proposes a bacterial foraging based approach for portfolio optimization problem. We develop an improved portfolio optimization model by introducing the endogenous and exogenous liquidity risk and the corresponding indexes are designed to measure the endogenous/exogenous liquidity risk, respectively. Bacterial foraging optimization (BFO) is employed to find the optimal set of portfoli...

The tool portfolio of a plant refers to the makeup, in quantity and type, of processing machines in the plant. Portfolio planning is a multi-criteria decision-making task involving trade-offs among investment cost, throughput, cycle time and risk. In this paper, an economic decision model is first presented for optimal configuration of portfolio and to determine optimal factory loading. If plan...

First introduced by Fernholz in stochastic portfolio theory, functionally generated portfolio allows its investment performance to be attributed to directly observable and easily interpretable market quantities. In previous works we showed that Fernholz’s multiplicatively generated portfolios have deep connections with optimal transport and the information geometry of exponentially concave func...

We explore how to manage a portfolio of passwords. We review why mandating exclusively strong passwords with no re-use gives users an impossible task as portfolio size grows. We find that approaches justified by loss-minimization alone, and those that ignore important attack vectors (e.g., vectors exploiting re-use), are amenable to analysis but unrealistic. In contrast, we propose, model and a...

In this study, we use a Dynamic Stochastic General Equilibrium (DSGE) model to investigate the household portfolio channel of monetary and credit shocks transmission in Iran. In this regard, we developed a canonical New Keynesian DSGE model with financial and banking sectors. The model is estimated by Bayesian method for the period 1990-2012. The result showed that the current and expected pric...

In the science of operation research and decision theory, selection is the most important process. Selection is a process that studies multiple qualitative and quantitative criteria, related to the science of management, which are mostly incompatible with each other. The multi criteria selection of a renewable energy portfolio is one of the main issues considered in multi criteria literatur...

A financial portfolio typically pays dividend based on its value. We show that there is a unique portfolio that pays the maximum dividend rate while remaining solvent, under appropriate assumptions. We also give a characterization of both the portfolio and the optimal dividend rate. © 2015 Elsevier Inc. All rights reserved.

SCALABLE, EFFICIENT AND OPTIMAL DISCRETE-TIME REBALANCING ALGORITHMS FOR LOG-OPTIMAL INVESTMENT PORTFOLIO

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....

This paper proposes to use the method of generalized empirical likelihood to find the optimal portfolio weights. The log-returns of assets are modeled by multivariate stationary processes rather than i.i.d. sequences. The variance of the portfolio is written by the spectral density matrix, and we seek the portfolio weights which minimize it.