The Mean-variance framework proposed by Markowitz is the most common model for portfolio selection problem. The most important concept in his theory is diversification. Diversification means designing an investment portfolio that reduces exposure risk by combining a variety of investments. But actually, the portfolios’ weights are often extremely concentrated on few assets when using mean-varia...

This paper presents a portfolio model of asset price effects arising from central bank large-scale purchases, or quantitative easing (QE). Two financial frictions — segmentation the market for reserves and imperfect substitutability give rise to two distinct effects. One is well known derives reduced supply purchased assets. The other new, runs through banks’ responses expansions, independent t...

We consider optimal portfolio selection problems in a possibilistic setting. Using the possibilistic framework, we can integrate more efficiently the experts’ knowledge and the investors’ subjective opinions into a portfolio selection model. In 2002 Carlsson, Fullér and Majlender considered portfolio selection problems under trapezoidal possibility distributions and presented an algorithm of co...

Comprehensive methods must be used for portfolio optimization. For this purpose, financial data of stock companies, inputs and outputs variable, the risk measure and investor’s preferences must be considered. By considering these items, we propose a method for portfolio optimization. In this paper, we used financial data of companies for screening the stock companies. We used Conditional Value ...