The purpose of this paper is to suggest a new theory of portfolio selection which is based on evolutionary reasoning in simple repeated market situations. According to this new point of view the ultimate success of a portfolio strategy is measured by the wealth share the strategy is eventually able to conquer in an evolutionary process of market selection. We identify a simple portfolio strateg...

This paper deals with a portfolio selection problem with independently estimated possibilistic return rates. Under such a circumstance, a distributive investment has been regarded as a good solution in the traditional portfolio theory. However, the conventional possibilistic approach yields a concentrated investment solution. Considering the reason why a distributive investment is advocated, a ...

Portfolio selection represents a challenge where investors look for the best firms of the market to be selected. This research presents a real world application at the Mexican Stock Exchange (La Bolsa) using a set of heuristic algorithms for portfolio selection. The heuristic algorithms (random, genetic, greedy, hill-climbing and simulated annealing) were implemented based on the Markowitz Mode...

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...

The stock evaluation process plays an important role in portfolio selection because it is the prerequisite for investment and directly influences on the stock allocation. This paper presents a methodology based on Data Envelopment Analysis for portfolio selection, decision making units which can be stocks or other financial assets. First, DMUs efficiencies are computed based on input/output, an...

In the project portfolio management, the project selection phase presents the greatest interest. In this article, we focus on this important phase by proposing a new method of projects selection consisting of several steps. We propose as a first step, a classification of projects based on the three most important criteria namely the value maximization, risk minimization and strategic alignment....