• Stochastic Energy Deployment System assesses research and development portfolios. Outcomes of federal goals for technology cost performance are evaluated. Interviews obtained estimates uncertainty. Lessons learned on conveying stochastic results to diverse audiences discussed. Governments dealing with the challenge how efficiently invest in portfolios related energy technologies. Research inv...

Portfolio selection is concerned with optimization of capital allocation to a large number of securities. In portfolio selection, risk analysis is one of the most important topics and research on quantitative definition of risk remains core of the topic. This paper proposes a novel risk definition for portfolio selection with uncertain returns. A risk curve is introduced and a new safe criterio...

The paper describes the use of trade-off information to create effective stock portfolio characterized by the desired values of selected stock attributes. The basic notions behind such a process of portfolio creation are discussed and related to multi attribute analysis which is done by evaluating compensations among the attributes’ values. A framework to construct a portfolio using only compen...

in this paper, linear data envelopment analysis models are used to estimate markowitz efficient frontier. conventional dea models assume non-negative values for inputs and outputs. however, variance is the only variable in these models that takes non-negative values. therefore, negative data models which the risk of the assets had been used as an input and expected return was the output are uti...

Portfolio optimization, as a process of reorganizing investment and dispersing risks by considering the established target return risk tolerance, is widely used in financial field. This paper analyzes asset allocation six kinds assets. It uses three methods, namely, mean-variance analysis, CAPM, FF3F model, to optimize portfolio. At same time, proportion assets portfolio should be considered un...