portfolio selection is considered a critically significant decision, firms have to make. as such, much research has been focused on the selection of a portfolio with a controlled level of risk and high expected return. this paper uses a new definition of risk for portfolio selection whereby risk taking is taken as a curve instead of a specific value. in this paper, a genetic algorithm is presen...

This paper presents a methodology for determining the optimal portfolio allocation demand response aggregator. The formulation is based on Day-Ahead electricity prices, in which aggregator coordinates set of residential consumers that are recruited through contracts. Four types contracts analyzed, considering both direct and indirect programs. objective to compare different scenarios contract p...

In this paper we use the Moore-Penrose inverse in the case of a close to singular and ill-conditioned, or singular variance-covariance matrix, in the classic Portfolio Selection Problem. In this way the possible singularity of the variance-covariance matrix is tackled in an efficient way so that the various application of the Problem to benefit from the numerical tractability of the Moore-Penro...

We consider the problem of portfolio optimization in the presence of market impact, and derive optimal liquidation strategies. We discuss in detail the problem of finding the optimal portfolio under Expected Shortfall (ES) in the case of linear market impact. We show that, once market impact is taken into account, a regularized version of the usual optimization problem naturally emerges. We cha...

Existing studies have found that ex post stock returns are positively skewed, but such skewness is only persistent for individual stocks, not for portfolios. This implies that the ex post knowledge of skewness may not be useful in ex ante portfolio selection. However, the portfolios in these studies are not optimally formed because preferences for skewness are not taken into consideration when ...