In portfolio theory, it is well-known that the distributions of stock returns often have non-Gaussian characteristics. Therefore, we need non-symmetric distributions for modeling and accurate analysis of actuarial data. For this purpose and optimal portfolio selection, we use the Tail Mean-Variance (TMV) model, which focuses on the rare risks but high losses and usually happens in the tail of r...

Abstract In this paper the concept of quantile-based optimal portfolio selection is introduced and a specific connected to it, conditional value-of-return (CVoR) portfolio, proposed. The CVoR defined as mean excess return or value-at-risk (CVaR) distribution. consists solely risk measures. Financial institutions that work in context Basel 4 use CVaR measure. regulatory framework sufficient nece...

A prominent approach to modelling ambiguity about stock return distribution is assume that investors have multiple priors the and these are distributed according a certain second-order distribution. Realistically, may also distribution, thus allowing for ambiguous ambiguity. Despite long history of debates this idea (Reichenbach, 1949; Savage, 1954), there seems be no formal analysis investment...

One of the most important concerns of investors in financial markets is choosing a share or stock portfolio that is optimal in terms of profitability. To this end, there are many ways in which the stock portfolio has been chosen. The optimal portfolio selection is a portfolio management goal. In this dissertation, the DEA technique has been used as a new and reliable way to select the stock opt...

We examine the optimal portfolio selection problem for a single agent who receives a unhedgeable endowment. The agent wishes to optimize his/her log-utility derived from his/her terminal wealth. We do not solve this problem analytically but rigorously prove that there exists a unique optimal portfolio strategy. We present a recursive computational algorithm which produces a sequence of portfoli...

in every society the optimal performance of economic system is depened upon two efjkient, powerful and administered sections: real and financial. the existence of different institutions in financial markets make different financial instruments available to real section. investment companies are among active financial institutions which collect small amounts ofcapital by selling thier shares and...

The purpose of this study is to optimize the stock price forecasting model with meta-innovation method in pharmaceutical companies.In this research, stock portfolio optimization has been done in two separate phases.The first phase is related to forecasting stock futures based on past stock information, which is forecasting the stock price using artificial neural network.The neural network used ...

In this paper, we consider the robust optimal portfolio selection problem where the return mean and covariance are supposed to be uncertain comparing to Markowitz’s model. The return mean is uncertain changing in intervals, and we introduce the cuts of fuzzy number to build the uncertain intervals for covariance. We report on empirical tests in which we compare the robust model with the classic...