This paper discusses how to introduce liquidity into the well known mean-variance framework of portfolio selection using a representative sample of Spanish equity portfolios. Either by estimating mean-variance liquidity constrained frontiers or directly estimating optimal portfolios for alternative levels of risk aversion and preference for liquidity, we obtain strong effects of liquidity on op...

The mean-variance principle of Markowitz (1952) for portfolio selection gives disappointing results once the mean and variance are replaced by their sample counterparts. The problem is ampli…ed when the number of assets is large and the sample covariance is singular or nearly singular. In this paper, we investigate four regularization techniques to stabilize the inverse of the covariance matrix...

Portfolio selection process is a subject focused by many researchers. Various criteria involved in this process have undergone alterations over time, necessitating the use of appropriate investment decision support tools. An optimization approach used in different sciences is using meta-heuristic algorithms. In the present study, using Water Cycle Algorithm (WCA), a model was introduced for sel...

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...

On the basis of Markowitz mean-variance framework, a new optimal portfolio selection approach is presented. The portfolio selection model proposed in the approach includes the expected return, the risk, and especially a quadratic type transaction cost of a portfolio. Using this model may yield an optimal portfolio solution that maximizes return, and minimizes risk, as well as also minimizes tra...

Investment decision making is one of the key issues in financial management. Selecting the appropriate tools and techniques that can make optimal portfolio is one of the main objectives of the investment world. This study tries to optimize the decision making in stock selection or the optimization of the portfolio by means of the artificial colony of honey bee algorithm. To determine the effect...

In this article, we estimate the mean-variance portfolio in high-dimensional case using recent results from theory of random matrices. We construct a linear shrinkage estimator which is distribution-free and optimal sense maximizing with probability 1 asymptotic out-of-sample expected utility, that is, objective function for different values risk aversion coefficient particular leads to maximiz...