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...

return maximization or risk minimization is goal in portfolio optimization based on mean variance theory. the structure of correlation matrices and individual variance of each asset are two main factors in optimization with risk minimization object. it’s necessary to use appropriate variance and correlation coefficient for time series with clustering volatilities feature, too. in this research,...

The optimization of investment portfolios is the most important topic in financial decision making, and many relevant models can be found in the literature.  According to importance of portfolio optimization in this paper, deals with novel solution approaches to solve new developed portfolio optimization model. Contrary to previous work, the uncertainty of future retur...

Due to the disturbances in tourism industry, Covid-19 pandemic precipitated a wave of economic recession around world. Consequently, many airlines change their operation portfolio control costs and maintain market competitiveness. This paper examines changes SIA's fuel hedging strategy during this disaster gains losses it generated group. The group's background, financial state share price serv...

Across the K-16 system of primary, secondary, and post-secondary education, the need for interdisciplinary resources is widespread. Resources are dispersed, however, across disciplinary, interdisciplinary, and professional forums, as well as the “gray” or “fugitive” literature of conference papers, teaching materials, program reports, working papers, and other unpublished work. We enlarge the c...

Recent developments in the theory of choice under uncertainty and risk yield a pessimistic decision theory that replaces the classical expected utility criterion with a Choquet expectation that accentuates the likelihood of the least favorable outcomes. A parallel theory has recently emerged in the literature on risk assessment. It is shown that pessimistic portfolio optimization based on the C...

We construct a general equilibrium model with incomplete markets and borrowing constraints, in order to study the term structure of real interest rates. Agents are subject to both aggregate and idiosyncratic income shocks, which latter may force them into early portfolio liquidation whilst in recession. We derive a closed-form equilibrium with limited agents’ heterogeneity (despite market incom...