Abstract: It is very important to minimize the risk in portfolio selection. For minimizing risk of portfolio at a given expected returns, it is efficient to compose portfolio with stocks which have low cross-correlation among them. In this regard, forecasting the cross-correlations among stock prices has attracted much interest among investors and financial market researchers. Most of studies i...

This paper considers a problem of multi-period supply portfolio selection and execution with demand information updates. A supply portfolio specifies a buyer’s decision on selecting sourcing mix from among a group of suppliers. We develop a framework for optimal supply portfolio selection and execution. Further, we demonstrate that the optimal portfolio selection follows a base-stock policy and...

Evidence indicates that people fear change and the unknown. We model this behavior as familiarity bias in which individuals focus on adverse scenarios in evaluating defections from the status quo. The model explains portfolio underdiversification, home and local biases. More importantly, equilibrium stock prices reflect an unfamiliarity premium. In an international setting, our model predicts t...

Stock portfolio selection is a classic problem in finance, and it involves deciding how to allocate an institution’s or an individual’s wealth to a number of stocks, with certain investment objectives (return and risk). In this paper, we adopt the classical Markowitz mean-variance model and consider an additional common realistic constraint, namely, the cardinality constraint. Thus, stock portf...

In this paper a data mining approach for classification of stocks into clusters is presented. After classification, the stocks could be selected from these groups for building a portfolio. It meets the criterion of minimizing the risk by diversification of a portfolio. The clustering approach categorizes stocks on certain investment criteria. We have used stock returns at different times along ...

the portfolio is a perfect combination of stock or assets, which an investor buys them. the objective of the portfolio is to divide the investment risk among several shares. using non-parametric dea and dea-r methods can be of great significance in estimating portfolio. in the present paper, the efficient portfolio is estimated by using non-radial dea and dea-r models. by proposing non-radial m...

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...

despite the growing use of evolutionary multi-objective optimization algorithms in different categories of science, these algorithms as a powerful tool in portfolio optimization and specially solving multi-objective portfolio optimization problem is still in its early stages. in this paper, moeas have been used for solving multi-objective portfolio optimization problem in tehran stock market. f...

Portfolio selection is one of the most important and vital decisions that a real or legal person, who invests in stock market should make. The main purpose of this paper is the determination of the optimal portfolio with regard to stock returns of companies, which are active in Tehran’s stock market. For achieving this purpose, annual statistics of companies’ stocks since Farvardin 1387 until E...