This research shows that a portfolio of wheat varieties could enhance profitability and reduce risk over the selection of a single variety for Kansas wheat producers. Many Kansas wheat farmers select varieties solely based on published average yields. This study uses portfolio theory from business investment analysis to find the optimal, yield-maximizing and riskminimizing combination of wheat ...

We survey 396 portfolio managers about the structure of their compensation. Overall, compensation packages are more likely to be “subjective and discretionary” than “objective and formula-based.” Firm success-factors such as firm profitability have more impact on bonuses than client success factors like investment performance. Differences in the structure of compensation across firms, clients, ...

Using a Genetic Algorithm (GA), an artificial intelligence technique, this study proposes an user-interactive dynamic portfolio selection strategy using a decision support system that will generate an optimal investment mix of assets based on user selection by maximizing the return of the Sharpe Ratio, a measure of the excess return received on a portfolio for the increase of volatility by acqu...

This paper deals with a portfolio selection problem based on the possibility theory under the assumption that the returns of assets are LR-type fuzzy numbers. A possibilistic portfolio model with transaction costs is proposed, in which the possibilistic mean value of the return is termed measure of investment return, and the possibilistic variance of the return is termed measure of investment r...

Methods for the selection of a research and development (R&D) project portfolio have attracted considerable interest among practitioners and academics. However, these methods have found limited use in practice, partly because they have encountered difficulties in capturing uncertainties and interdependencies related to R&D projects. Motivated by these difficulties, we develop Contingent Portfol...

A memetic approach that combines a genetic algorithm (GA) and quadratic programming is used to address the problem of optimal portfolio selection with cardinality constraints and piecewise linear transaction costs. The framework used is an extension of the standard Markowitz mean–variance model that incorporates realistic constraints, such as upper and lower bounds for investment in individual ...

Asset allocation is one of the most important investment decisions that financial institutions have to make. Modern portfolio theory suggests that an optimal asset portfolio is one which maximises the return of the portfolio at a certain level of risk which is defined as the variance of the portfolio. In the light of liability cash flows, modern portfolio theory can be extended by regarding a l...

Known facts about the existence and uniqueness of the log-optimal investment portfolio are presented in a simpler and more complete form than in previous publications. Five examples illustrate the problems around its existence and uniqueness and provide an intuitive insight into mathematical properties of the log-optimal portfolio and the associated optimal doubling rate.

This paper considers the optimal asset allocation problem for defined-contribution pension plan members whose terminal utility is a function of replacement ratio, i.e. the pension-to-final wage ratio. When three asset types are available for investment, the optimal portfolio composition, which is horizon dependent, includes investment in both riskless and risky assets. The investment in risky a...