The main purpose of this research is portfolio optimization in Tehran securities exchange using the black hole algorithm and the Gravitational Research algorithm. We also propose an algorithm named Hybrid Algorithm which combines the two algorithms above to cover the weaknesses of these two algorithms. Finally we compare the results with the Markowitz model and choose the optimal algorithm.<br ...

Herein is an incomplete collection of facts about the Sharpe ratio, and the Sharpe ratio of the Markowitz portfolio. Connections between the Sharpe ratio and the t-test, and between the Markowitz portfolio and the Hotelling T 2 statistic are explored. Many classical results for testing means can be easily translated into tests on assets and portfolios. A ‘unified’ framework is described which c...

In this paper, we propose dynamic, short-term, financial risk management strategies for small electricity producers and buyers that trade in the wholesale markets. Since is mostly nonstorable, coming from extremely volatile prices cannot be reduced by using standard finance-based approaches. Instead, a short-term operational planing proper diversification might used. analyze price terms of Mark...

This paper develops a continuous time modeling approach for making optimal asset allocation decisions. Macroeconomic and "nancial factors are explicitly modeled as Gaussian stochastic processes which directly a!ect the mean returns of the assets. We employ methods of risk sensitive control theory, thereby using an in"nite horizon objective that is natural and features the long run expected grow...

In this paper, we compared the models for selecting optimal portfolio based on different risk measures to identify periods in which some of dominated over others. For decades, best known return-risk model has been Markowitz’s mean-variance model. Based criticism classical Markowitz model, a whole series and have developed, are divided into two groups: symmetrical downside measures. tools provid...

A memetic approach that combines a genetic algorithm (GA) and quadratic programming is used to address the problem of optimal portfolio selection with cardinality constraints and piecewise linear transaction costs. The framework used is an extension of the standard Markowitz mean–variance model that incorporates realistic constraints, such as upper and lower bounds for investment in individual ...

In the smart microgrid system, optimal sizing of battery energy storage system (BESS) considering virtual (VESS) can minimize cost and keep stable operation. This paper proposes a two-layer BESS strategy dispatch VESS in with high photovoltaic (PV) penetration. first layer, modelling aggregation are established, initial size is determined by participation demand response program. second studied...

The main purpose of this study is the determination of the optimal length of the historical data for the estimation of statistical parameters in Markowitz Portfolio Optimization. We present a trading simulation using Markowitz method, for a portfolio consisting of foreign currency exchange rates and selected assets from the Istanbul Stock Exchange ISE 30, over the period 2001-2009. In the simul...