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 ...

Many portfolio optimization problems deal with allocation of assets which carry a relatively high market price. Therefore, it is necessary to determine the integer value of assets when we deal with portfolio optimization. In addition, one of the main concerns with most portfolio optimization is associated with the type of constraints considered in different models. In many cases, the resulted p...

The formulation of a product portfolio requires extensive knowledge about the product market space and also the technical limitations of a company’s engineering design and manufacturing processes. A design methodology is presented that significantly enhances the product portfolio design process by eliminating the need for an exhaustive search of all possible product concepts. This is achieved t...

The optimization of investment portfolios is the most important topic in financial decision making, and many relevant models can be found in the literature.  According to importance of portfolio optimization in this paper, deals with novel solution approaches to solve new developed portfolio optimization model. Contrary to previous work, the uncertainty of future retur...

Finding the best way to optimize the portfolio after Markowitz's 1952 article has always been and will continue to be one of the concerns of activists in the investment management industry. Researchers have come up with different solutions to overcome this problem. The introduction of mathematical models and meta-heuristic models is one of the activities that has influenced portfolio optimizati...

the markowitz’s optimization problem is considered as a standard quadratic programming problem that has exact mathematical solutions. considering real world limits and conditions, the portfolio optimization problem is a mixed quadratic and integer programming problem for which efficient algorithms do not exist. therefore, the use of meta-heuristic methods such as neural networks and evolutionar...

In an uncertain and competitive environment, product portfolio management (PPM) becomes more challenging for manufacturers to decide what to make and establish the most beneficial product portfolio. In this paper, a novel approach in PPM is proposed in which the environment uncertainty, competitors’ behavior and customer’s satisfaction are simultaneously considered as the most important criteri...

This paper considers a multi-objective portfolio selection problem imposed by gaining of portfolio, divided yield and risk control in an ambiguous investment environment, in which the return and risk are characterized by probabilistic numbers. Based on the theory of possibility, a new multi-objective portfolio optimization model with gaining of portfolio, divided yield and risk control is propo...