We present a fuzzy version of the efficient portfolio selection problem which adds to the Markowitz’s classical model the vagueness of the investor’s preferences about the assumed risk. This is done by adapting some techniques previously applied by the authors in other logistic problems. We provide several procedures to solve it: an exact one and a hybrid meta-heuristic procedure more adequate ...

Empirical studies show that individual investors do not always behave rationally and do not use standard investment portfolio selection tasks. In this paper we focus on investor choices and the basic elements affecting them. The paper presents optimization model based on a measure of investor satisfaction. The model is created on the basis of surveys conducted among Polish individual investors....

This paper deals with the problem of multiperiod portfolio selection, where borrowing and lending are allowed with different rates. Indeed, this work is mainly based on a recently published paper with the same subject. In this paper the underlying problem of multiperiod portfolio selection with different borrowing and lending rates is reformulated. After a thorough discussion about both concept...

This paper discusses a class of linear programming problems with interval coefficients in both the objective functions and constraints. The noninferior solutions to such problems are defined based on two order relations between intervals, and can be found by solving a parametric linear programming problem. Considering the uncertain returns of assets in capital markets as intervals, we propose a...

This study aimed to present a model for portfolio risk premium assessment of companies listed in Tehran Stock Exchange. In order to achieve this purpose, monthly data of 150 companies listed in Tehran Stock Exchange during 2007-2017 was used. In this study, the predictive powers of FamaFrench three-factor model [11], Carhart four-factor model [1], Fama - French five-factor model [24], Brousseau...