nowadays, the significant increase in the banks' non- performing loans is one of the main disturbances for authorities because of its bad effects on the macroeconomic index in our country such as increasing credit risk, liquidity risk and finally bankruptcy risk. social gap in welfare programs, deviation in monetary policies, etc. are the other bad results of this phenomenon. meanwhile, du...

We derive dynamic optimal trading strategies that minimize the expected cost of trading blocks of securities over a xed time horizon. Given xed blocks si of shares of stock i to be traded within a nite number of periods T , i = 1; : : : ; n, and given price-impact functions that yield the execution price of an individual trade as a function of the shares of stock i traded and current market con...

The capital market in each country is considered as the most important part of the economy and its fluctuations may reflect the economic situation of the country. In this paper, the hypothesis of convergence of stock market price indices in Asian countries during the period from January 2007 to February 2017 is investigated using cluster analysis method. The results show that there is no eviden...

We propose a way of using DEA cross-efficiency evaluation in portfolio selection. While cross efficiency is an approach developed for peer evaluation, we improve its use in portfolio selection. In addition to (average) cross-efficiency scores, we suggest to examine the variations of cross-efficiencies, and to incorporate two statistics of cross-efficiencies into the mean-variance formulation of...

The stochastic nature of financial markets is a barrier for successful portfolio management. Besides traditional Markowitz’s model, many other portfolio selection models in Bayesian and Non-Bayesian frameworks have been developed. Starting with the basic Markowitz model, several cardinal models are used to find optimum portfolios with select stock set. Having developed the regression model of t...

modern portfolio theory is based on harry markowitz's 1952 work on mean-variance portfolios. he stated that a rational investor should either maximize his expected return for a given level of risk, or minimize his risk for a given expected return. in this study the markowitz model with cardinality constraints was studied. we extend the standard model to include cardinality constraints that...

A valuation model is presented for options on stocks for which BlackScholes arbitrage does not entirely eliminate risk. The price dynamics of a portfolio of options and the underlying security is quanti ed by requiring that the excess reward-to-risk ratio of the portfolio be identical to that of the underlying stock: excess return risk portfolio = excess return risk stock : The nonlinear evolut...

A computational solution is found for a optimal consumption and portfolio policy problem in which the underlying stock satisfies a geometric jump–diffusion in which both the diffusion and jump amplitude are log– normally distributed. The optimal objective is to maximize the expected, discounted utility of terminal wealth and the cumulative discounted utility of instantaneous consumption. The ju...