this paper presents dynamic portfolio model based on the merton's optimal investment-consumption model, which combines dynamic synthetic put option using risk-free and risky assets. this paper is extended version of methodological paper published by yuan yao (2012) cite{26}. because of the long history of the development of foreign financial market, with a variety of financial derivatives, the ...

In the science of operation research and decision theory, selection is the most important process. Selection is a process that studies multiple qualitative and quantitative criteria, related to the science of management, which are mostly incompatible with each other. The multi criteria selection of a renewable energy portfolio is one of the main issues considered in multi criteria literatur...

In the science of operation research and decision theory, selection is the most important process. Selection is a process that studies multiple qualitative and quantitative criteria, related to the science of management, which are mostly incompatible with each other. The multi criteria selection of a renewable energy portfolio is one of the main issues considered in multi criteria literatur...

Environmental modellers recurrently work with decisions where a portfolio of actions has to be formed to effectively address the overall situation at hand. When creating the portfolio, one needs to consider multiple objectives and constraints, identify promising action candidates and examine interactions among them. The area of portfolio decision analysis deals with such tasks. This paper revie...

This paper features a tri-criteria analysis of Eurekahedge fund data strategy index data. We use nine Eurekahedge equally weighted main strategy indices for the portfolio analysis. The tri-criteria analysis features three objectives: return, risk and dispersion of risk objectives in a Multi-Criteria Optimisation (MCO) portfolio analysis. We vary the MCO return and risk targets and contrast the ...

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 com...

This paper presents dynamic portfolio model based on the Merton's optimal investment-consumption model, which combines dynamic synthetic put option using risk-free and risky assets. This paper is extended version of methodological paper published by Yuan Yao (2012). Because of the long history of the development of foreign financial market, with a variety of financial derivatives, the study on ...