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...

The problem of portfolio optimization is one of the most important issues in asset management. We here propose a new dynamic portfolio strategy based on the time-varying structures of MST networks in Chinese stock markets, where the market condition is further considered when using the optimal portfolios for investment. A portfolio strategy comprises two stages: First, select the portfolios by ...

In ‎the ‎portfolio ‎optimization, ‎the ‎goal ‎is ‎to ‎distribute ‎the ‎ fixed capital ‎on a‎ ‎set ‎of‎investment ‎opportunities ‎to ‎maximize ‎return ‎while ‎managing ‎risk. ‎Risk ‎and ‎return ‎are ‎quantiti es ‎that ‎are ‎used ‎as ‎input ‎paramete‎rs ‎for ‎the ‎optimal ‎allocation ‎of ‎the ‎capital ‎in ‎the ‎suggested ‎models. ‎ But ‎these ‎quantities ‎are ‎not ‎known ‎at ‎the ‎time ‎of ‎the ‎...

In this paper we present a two-component portfolio selection problem under two types of uncertainties, i.e., probabilistic risk and possibilistic risk. We study the portfolio selection problem in mergers and acquisitions, M&As, and show the usability of the presented mixed model in portfolio selection of corporate acquisition targets. We view the total M&A value consisting of a stand-alone of a...

Due to the increasing size of the population, society faces several challenges for sustainable and adequate agricultural production, quality, distribution, and food safety in the strategic project portfolio selection (SPPS). The initial adaptation of strategic portfolio management of genetically modified (GM) Agro by-products (Ab-Ps) is a huge challenge in terms of processing the agro food prod...

This paper develops a bi-objective portfolio selection problem that maximizes returns and minimizes a risk measure called conditional Drawdown (CDD). The drawdown measures include the maximal Drawdown and Average Drawdown as its limiting case. The CDD family of risk functional is similar to conditional value at Risk (CVaR). In this paper, the fuzzy method has been used to solve the bi-objec...

In this paper we present a two-component portfolio selection problem under two types of uncertainties, i.e., probabilistic risk and possibilistic risk. We study the portfolio selection problem in mergers and acquisitions, M&As, and show the usability of the presented mixed model in portfolio selection of corporate acquisition targets. We view the total M&A value consisting of a stand-alone of a...

Year over year, the majority of IT projects fail to deliver the required features on time and budget, costing billions of dollars. The task of portfolio managers is to make a selection of prospective projects, given only rough costbenefit estimates for them. In this paper, we present LearnIT, a tool to aid portfolio managers in their portfolio selection job. LearnIT identifies past or current I...