In this paper, we deal with a generalized multi-period mean–variance portfolio selection problem with market parameters subject to Markov random regime switchings. Problems of this kind have been recently considered in the literature for control over bankruptcy, for cases in which there are no jumps in market parameters (see [Zhu, S. S., Li, D., & Wang, S. Y. (2004). Risk control over bankruptc...

In conventional mean-variance model of portfolio optimization problem the expected return is taken as the mean of the past returns. This assumption is not correct and hence the method leads to poor portfolio optimization performance. Hence an alternative but efficient method is proposed in which the mean and variance of expected return are first predicted with a low complexity functional link a...

This paper presents a multi-stock discrete time market model. In this model, we consider an optimal solution in the multi-stock portfolio selection. Specially, the model allows that the optimal strategy to maximize an exponent function of the expected value is quasi myopic.

A company depends on the definition and implementation of a set of projects aligned with the vision established by its senior management to accomplish its strategies. To this set of projects is given the name of portfolio. This paper implements a collaborative tool to support the construction and selection of a project portfolio aligned with the corporate strategy. The tool is capable of modeli...

In this paper, we deal with portfolio selection decisions when the portfolio returns are approximated by stable Paretian distributions. Therefore, we examine some dominance rules to determine the optimal choices of non-satiable risk averse investors. In particular, we first preselect a subclass of assets which are not dominated by the point of view of non-satiable and risk-averse investors. The...

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...

In this study, we propose an improved fuzzy multi-objective portfolio selection model (VaR-MOPSM) with distinct risk measurements. The VaR-MOPSM can precisely evaluate the investment and increase the probability of obtaining the expected return. When building the model, fuzzy Value-at-Risk (VaR), which can directly reflect the greatest loss of a selection case under a given confidence level, is...