Portfolio optimization involves the optimal assignment of limited capital to different available financial assets to achieve a reasonable trade-off between profit and risk objectives. In this paper, we studied the extended Markowitz’s meanvariance portfolio optimization model. We considered the cardinality, quantity, pre-assignment and round lot constraints in the extended model. These four rea...

In this paper, a mathematical model for an extended multi-objective portfolio selection (EMOPS) problem is explored with liquidity considered as another objective function besides the risk and return. The mathematically formulated in uncertain environment. concerned uncertainty dealt by employing fuzzy numbers matrix While EMOPS converted into corresponding deterministic case based on α—level s...

Project portfolio selection is one of the most important decision-making problems for most organizations in project management and engineering management. Usually project portfolio decisions are very complicated when project interactions in terms of multiple selection criteria and preference information of decision makers (DMs) in terms of the criteria importance are taken into consideration si...

This paper develops a bi-objective portfolio selection problem that maximizes returns and minimizes a risk measure called conditional Drawdown (CDD). The drawdown measures include the maximal Drawdown and Average Drawdown as its limiting case. The CDD family of risk functional is similar to conditional value at Risk (CVaR). In this paper, the fuzzy method has been used to solve the bi-objec...

Efficient portfolio design is a principal challenge in modern computational finance. Optimization based on Markowitz two-objective mean-variance approach is computationally expensive for real financial world. Practical portfolio design introduces further complexity as it requires the optimization of multiple return and risk measures. Some of these measures are nonlinear and nonconvex. The probl...

We begin this paper by first comparing the theory of present-day portfolio selection, which is a theory for standard investors (whose utility functions take on only the single argument of portfolio return), with a developing theory for non-standard investors (whose utility functions are allowed to take on additional arguments). Examples of additional arguments are dividends, liquidity, social r...

This paper addresses the multi-objective portfolio selection model with fuzzy random returns for investors by studying three criteria: return, risk and liquidity. In addition, securities historical data, experts’ opinions and judgements and investors’ different attitudes are considered in the portfolio selection process, such that the investor’s individual preference is reflected by an optimist...

Investment managers are multi-objective decision-makers (DMs) who make portfolio decisions by maximizing profits and minimizing risks over a multi-period planning horizon. Portfolio decisions are complex multi-objective problems which include both tangible and intangible factors. We propose an integrated multi-objective framework for project portfolio selection with respect to both the profits ...

This paper deals with how to incorporate anticipatory behavior in multi-objective metaheuristics. We propose a principled methodology to track the stochastic dynamics of the population of candidate Pareto optimal solutions in the objective space by incorporating the Kalman Filter (KF) estimation into the Anticipatory S-Metric Selection Evolutionary Multi-Objective Algorithm (ASMS-EMOA). The pro...