Multi-period guarantees are often embedded in life insurance contracts. In this paper we consider the problem of hedging these multiperiod guarantees in the presence of transaction costs. We derive the hedging strategies for the cheapest hedge portfolio for a multi-period guarantee that with certainty makes the insurance company able to meet the obligations from the insurance policies it has is...

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...

portfolio selection is considered a critically significant decision, firms have to make. as such, much research has been focused on the selection of a portfolio with a controlled level of risk and high expected return. this paper uses a new definition of risk for portfolio selection whereby risk taking is taken as a curve instead of a specific value. in this paper, a genetic algorithm is presen...

One measure of riskiness of an investment is “drawdown”, defined, most often in the asset management space, as the decline in net asset value from a historic high point. Mathematically, if the net asset value is denoted by Vt , t ≥ 0, then the current “peak-to-trough” drawdown is given by Dt = Vt − max0≤u≤t Vu. The maximum drawdown, max0≤u≤t Du, is a statistic that the CFTC forces managed futur...

This paper considers a multi-objective portfolio selection problem imposed by gaining of portfolio, divided yield and risk control in an ambiguous investment environment, in which the return and risk are characterized by probabilistic numbers. Based on the theory of possibility, a new multi-objective portfolio optimization model with gaining of portfolio, divided yield and risk control is propo...

We compare different multiperiod risk measures taken from the class of polyhedral risk measures with respect to the effect they show when used in the objective of a stochastic program. For this purpose, simulation results of a stochastic programming model for optimizing the electricity portfolio of a German municipal power utility are presented and analyzed. This model aims to minimize risk and...

in the portfolio selection problem, the manager considers several objectives simultaneously such as the rate of return, the liquidity and the risk of portfolios. these objectives are conflicting and incommensurable. moreover, the objectives can be imprecise. generally, the portfolio manager seeks the best combination of the stocks that meets his investment objectives. the imprecise goal program...

Abstract In this paper, we present a new multiperiod portfolio selection model with maximum absolute deviation model. The investor is assumed to seeks an investment strategy to maximize his/her terminal wealth, and minimize the total risk in all periods. Different with original consideration that risk is defined as the variance of terminal wealth, in our paper, the total risk is defined as the ...