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 article, I explicitly solve dynamic portfolio choice problems, up to the solution of an ordinary differential equation (ODE), when the asset returns are quadratic and the agent has a constant relative risk aversion (CRRA) coefficient. My solution includes as special cases many existing explicit solutions of dynamic portfolio choice problems. I also present three applications that are no...

Over the last decade we have witnessed the rise and fall of the so-called new economy stocks. One central question is to what extent these new firms differ from traditional firms. Empirical evidence suggests that stock returns are not normally distributed. In this article we investigate whether this also holds for portfolios of stocks from a growth industry. Furthermore, we will compare this ty...

The problem of optimal portfolio selection has attracted a great attention in the finance and optimization field. The future stock price should be predicted in an acceptable precision, and a suitable model and criterion for risk and the expected return of the stock portfolio should be proposed in order to solve the optimization problem. In this paper, two new criterions for the risk of stock pr...

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...

The paper investigates the first and second orders moment transmission between gold and Indian industrial sectors with an application of portfolio design and hedging effectiveness using generalised VAR-ADCC-BVGARCH model. Our findings indicate unidirectional significant return spillover from gold to stock sectors. The negative values of estimated time varying conditional correlations are mainly...

The purpose of resent research is to analysis and compares performance evaluation models of selected investment companies in Tehran Stock Exchange Market in the field of their portfolio management. The duration of research was between years 2009-2014. Statistical society the research is consisting of all active investment companies in in Tehran Stock Exchange Market which were 30 companies. Vol...

one of known methods for measuring, forecasting and managing risk is value at risk, which recently has been used by financial institutions extensively. value at risk (var) is a method for recognizing and evaluating risk and uses standard statistical techniques that have daily using in other contexts. this research is seeking a career for managing investment risk in stock exchange and selection ...

contrarian and momentum investing strategies are two techniques which are used in stock markets to enhance portfolio return. contrarian investing strategy states that stocks which had better performances in the past should be sold and stocks that had poor performances should be bought. in practice, this strategy is used for a package of stocks and for portfolio formation. the main objective of ...

Recently, the economic crisis has resulted in instability in stock exchange market and this has caused high volatilities in stock value of exchanged firms. Under these conditions, considering uncertainty for a favorite investment is more serious than before. Multi-objective Portfolio selection (Return, Liquidity, Risk and Initial cost of Investment objectives) using MINMAX fuzzy goal programmin...