Compared with the conventional probabilistic mean-variance methodology, fuzzy number can better describe an uncertain environment with vagueness and ambiguity. Based on this fact, possibilistic mean-variance utilities to portfolio selection for bounded assets are discussed in this paper. The possibilistic mean value of the expected return is termed measure of investment return and the possibili...

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...

A major challenge for stochastic optimization is the cost of updating model parameters especially when the number of parameters is large. Updating parameters frequently can prove to be computationally or monetarily expensive. In this paper, we introduce an efficient primal-dual based online algorithm that performs lazy updates to the parameter vector and show that its performance is competitive...

index tracking is the process of developing a portfolio that reproduces the performance of an index. the tracker portfolio has relatively good diversity and low turnover and low transaction costs. in this paper we applied a binary programming model for index tracking problem. in this model the number of assets for portfolio construction is defined by portfolio manager. the robust optimization f...

In this paper, we propose use of the influence diagram for stock portfolio selection. We use an algorithm that applies the mutual information as the metric to guide the refinement of the influence diagram. We applied the algorithm to the conceptual refinement of the influence diagram. We tested our algorithm to a specific domain – portfolio selection; the result is impressive compared to the S&...

Multi-period portfolio selection problem attracts more and more attentions because it is in accordance with the practical investment decision-making problem. However, the existing literature on this field is almost undertaken by regarding security returns as random variables in the framework of probability theory. Different from these works, we assume that security returns are uncertain variabl...

This paper proposes an entropy method for diversified fuzzy portfolio selection. Proportion entropy is introduced and credibilistic mean-variance and mean-semivariance diversification models for fuzzy portfolio selection are proposed. The crisp forms of the proposed models are also provided when the security returns are all triangular fuzzy variables. As an illustration, an application example ...

In this paper, two kinds of portfolio selection models are proposed based on fuzzy probabilities and possibility distributions, respectively, rather than conventional probability distributions in Markowitz’s model. Since fuzzy probabilities and possibility distributions are obtained depending on possibility grades of security data o ered by experts, investment experts’ knowledge can be re ected...

The Modern Portfolio Theory of Markowitz maximized portfolio expected return subject to holding total portfolio variance below a selected level. Digital Portfolio Theory is an extension of Modern Portfolio Theory, with the added dimension of memory. Digital Portfolio Theory decomposes the portfolio variance into independent components using the signal processing decomposition of variance. The r...

the credit portfolio management and the optimal credit portfolio selection are identified as one of the most effective factors in banks’ credit risk. two main strategies in this regard include diversification versus concentration. in this study, at first, the status of diversification of iran’s banking sector is analyzed, then the relationship between diversification of the credit portfolio and...