The selection of a proxy for market portfolio in CAPM model remains one the most crucial steps its empirical use. This paper aims to check validity Indian and identify efficient portfolio. Incorrect this may lead inaccurate result even rejection when tested empirically. further emphasises importance selecting correct reviews why standard cap-weighted indices can be used as then which ofsuch ind...

in financial matters, portfolio can be interpreted as a combination or a series of investments hold by an institution or a person. portfolio optimization is one of the most important concerns of investors for maximizing the portfolio in financial markets. the formation of portfolio is a vital and critical decision for the companies.  in fact, the selection of portfolio is to specify the capital...

This paper addresses about an approach that suggests for stock portfolio optimization using the combination of Adaptive Neuro-Fuzzy Inference System (ANFIS) and Capital Asset Pricing Model (CAPM). Stock portfolio optimization aims to determine which of the stocks to be added to a portfolio based on the investor’s needs, changing economic and market conditions. In order to construct an efficient...

This research introduces a new mixed-integer nonlinear goal program (MINLGP) with branch and bound constraints and a separable programming foundation. The motivation for creating the MINLGP algorithm is to advance the ability of portfolio managers facing multiple and hierarchical goals to simultaneously solve for an efficient portfolio with an optimal number of contingent claim contracts in ord...

resource limitation in zero time may cause to some profitable projects not to be selected in project selection problem, thus simultaneous project portfolio selection and scheduling problem has received significant attention. in this study, budget, investment costs and earnings are considered to be stochastic. the objectives are maximizing net present values of selected projects and minimizing v...

markowitz, in his portfolio selection theory, stated that investors select their portfolios according to two criteria of risk and return. accordingly, he presented his mathematical model. one of the criticisms of this model is that while investors, practically, consider different criteria in forming their portfolios, it only considers the return mean and return standard deviation. liquidity is ...

The problem of portfolio optimization which deals with the twin objectives of minimizing risk and maximizing expected portfolio return can turn complex when constraints that model investor preferences and market norms such as bounding, cardinality and class constraints, and short sales are included in it. A complex-constrained portfolio optimization such as this has been beyond the reach of sol...