We examine the issue of possible portfolio diversification benefits into seven Middle-Eastern and North African (MENA) stock markets. We take the standpoint of the world investor and we construct portfolios in international and local currencies based on five optimization models and two risk measures. We then compare the portfolio out-of-sample performance based on Sharpe and Sortino ratios thro...

Classical statistical models can solve the problem of portfolio optimization and can determine the efficient frontier of investment when there are few investable assets and constraints. But these models cannot easily solve optimization problems when we consider real-world constraints. Therefore, data mining techniques such as evolutionary algorithms are important in portfolio optimization. The ...

criteria in household portfolio. to do this, the data which are related to the asset price are used including: bank deposit, bonds, stock, exchange, coin, land and housing in time period of 1997 to 2011. in this research, portfolio var id calculated in the confidence level of 90%, 95%, and 99% and in time periods of one year and 14 years. after calculating returns, return standard deviation, co...

We investigate the optimal strategy over a finite time horizon for a portfolio of stock and bond and a derivative in an multiplicative Markovian market model with transaction costs (friction). The optimization problem is solved by a Hamilton-Bellman-Jacobi equation, which by the verification theorem has well-behaved solutions if certain conditions on a potential are satisfied. In the case at ha...

We extend recently introduced latent threshold dynamic models to include dependencies among dynamic latent factors underlying multivariate volatility. With an ability to induce time-varying sparsity into factor loadings, these models now also allow time-varying correlations among factors; this may be exploited to improve volatility forecasts. We couple multi-period, out-of-sample forecasting wi...

Noise is essential for the existence of a liquid market, and if noise traders are not present in the market, the trade volume will drop severely and an important aspect of the market philosophy will be lost. However, these noise traders bring noise to the market, and the existence of noise in prices indicates a temporary deviation in prices from their fundamental values. In particular, high-fre...

Comprehensive methods must be used for portfolio optimization. For this purpose, financial data of stock companies, inputs and outputs variable, the risk measure and investor’s preferences must be considered. By considering these items, we propose a method for portfolio optimization. In this paper, we used financial data of companies for screening the stock companies. We used Conditional Value ...

Since executives typically receive new grants of stock options (ESOs) each year, longerserving executives often have portfolios of ESOs with differing strikes and maturities. Valuation models for stand-alone ESO grants have shown that trading restrictions, which force executives to bear unhedgeable risk until the options are exercised, induce earlier exercise and hence a lower cost to sharehold...

We develop and implement a portfolio optimization method for building investment portfolios that dominate a given benchmark index in terms of third-degree stochastic dominance. Our approach relies on the properties of the semi-variance function, a re nement of an existing `superconvex' dominance condition and quadratic constrained programming. To reduce the computational burden in large-scale a...

projects scheduling by the project portfolio selection, something that has its own complexity and its flexibility, can create different composition of the project portfolio. an integer programming model is formulated for the project portfolio selection and scheduling.two heuristic algorithms, genetic algorithm (ga) and simulated annealing (sa), are presented to solve the problem. results of cal...