This research shows that a portfolio of wheat varieties could enhance profitability and reduce risk over the selection of a single variety for Kansas wheat producers. Many Kansas wheat farmers select varieties solely based on published average yields. This study uses portfolio theory from business investment analysis to find the optimal, yield-maximizing and riskminimizing combination of wheat ...

Genetic algorithms (GA) are stochastic search techniques based on the mechanics of natural selection and natural genetics. In this paper, the adaptive genetic algorithms are applied to solve the portfolio selection problem in which there exist both probability constraint on the lowest return rate of portfolio and lower and upper bounds constraints on the investment rates to assets. First, the s...

THE CURRENT PAPER BY YACINE AIT-SAHALIA and Michael W. Brandt ~henceforth AB! addresses two issues that are of central concern in portfolio choice: How can portfolio advice be made realistic while remaining tractable? How can

We propose a way of using DEA cross-efficiency evaluation in portfolio selection. While cross efficiency is an approach developed for peer evaluation, we improve its use in portfolio selection. In addition to (average) cross-efficiency scores, we suggest to examine the variations of cross-efficiencies, and to incorporate two statistics of cross-efficiencies into the mean-variance formulation of...