Conventionally, portfolio selection problems are solved with quadratic or linear programming models. However, the solutions obtained by these methods are in real numbers and difficult to implement because each asset usually has its minimum transaction lot. Methods considering minimum transaction lots were developed based on some linear portfolio optimization models. However, no study has ever i...

A connection between the notion of information and the concept of risk and return in portfolio theory is deduced. This succeeds in two steps: A general moment-return relation for arbitrary assets is derived, thereafter the total expected return is connected to the Kullback-Leibler information. With this result the optimization problem to maximize the expected return of a portfolio consisting of...

In the present paper, we derive a closed-form solution of the multi-period portfolio choice problem for a quadratic utility function with and without a riskless asset. All results are derived under weak conditions on the asset returns. No assumption on the correlation structure between different time points is needed and no assumption on the distribution is imposed. All expressions are presente...

We introduce a decision support framework for the research and development (R&D) portfolio selection problem faced by a major U.S. semiconductor manufacturer. R&D portfolio selection is of critical importance to high-tech operations such as semiconductor and pharmaceutical, as it determines the blend of technological development the firm must invest in its R&D resources. This R&D investment lea...

Abstract. The portfolio optimization problem is formulated as a multi-objective mixed integer program. The problem considered is based on a single period model of investment. The problem objective is to allocate wealth on different assets to maximize the weighted difference of the portfolio expected return, the threshold of the probability that the return is not less than a required level and t...

Abstract—Constructing a portfolio of investments is one of the most significant financial decisions facing individuals and institutions. In accordance with the modern portfolio theory maximization of return at minimal risk should be the investment goal of any successful investor. In addition, the costs incurred when setting up a new portfolio or rebalancing an existing portfolio must be include...

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 ...

In this paper we present a new mean–variance customer portfolio optimization algorithm for a class of ergodic finite controllable Markov chains. In order to have a realistic result we propose an iterated twostep method for solving the given portfolio constraint problem: (a) the first step is designed to optimize the nonlinear problem using a quadratic programming method for finding the long run...

In this paper we present an evolutionary optimization approach to solve the risk parity portfolio selection problem. While there exist convex optimization approaches to solve this problem when long-only portfolios are considered, the optimization problem becomes nontrivial in the long-short case. To solve this problem, we propose a genetic algorithm as well as a local search heuristic. This alg...