Mean-variance optimization often leads to unreasonable asset allocations. This problem has forced scholars and practitioners alike introduce portfolio constraints. The scope of our study is verify which type constraint more suitable for achieving efficient performance. We have applied the main techniques developed by financial community, including classical weight, flexible, norm-based, varianc...

Since the beginning of 21st century, there have been many excellent fund managers, but asset portfolios are rare. Therefore, it is great interests to implement in-depth investigations on this issue. In paper, Markowitz model and Index selected measure returns volatility ten different assets get a better result. At same time, according preferences customers, five constraints meet characteristics...

This paper presents a portfolio selection model based on the idea of approximation. The model describes a portfolio by its decumulative distribution curve and a preference structure by a family of convex indi€erence curves. It prescribes the optimal portfolio as the one whose decumulative curve has the highest tangent indi€erence curve. The model extends the mean±variance model in the sense tha...