Portfolio construction is one of the most fatal issues modern finance, which can effectively gain returns or reduce risks. This study constructs portfolios in energy-related assets. Specifically, Monte Carlo simulations are carried out for a hundred thousand times order to discover efficient frontier and find minimum variance maximum sharp ratio portfolio. According simulations, American Electr...

This paper investigates a stochastic optimal control problem with delay and of mean-field type, where the controlled state process is governed by a mean-field jump-diffusion stochastic delay differential equation. Two sufficient maximum principles and one necessary maximum principle are established for the underlying systems. As an application, a bicriteria mean-variance portfolio selection pro...

We propose a computational procedure to find the efficient frontier for the standard Markowitz mean-variance model with discrete variables. The integer constraints limit on the one hand the portfolio to contain a predetermined number of assets and, on the other hand, the proportion of the portfolio held in a given asset. We adapt the multiobjective algorithm NSGA for solving the problem. The al...

This paper concerns a continuous-time portfolio selection problem with inflation in an incomplete market. By using the approach of more general stochastic linear quadratic control technique (SLQ), we obtain the optimal strategy and efficient frontier to this problem. Furthermore, a numerical example is also provided.

This paper is about dotted representations of efficient frontiers. Dotted representations, as in portfolio selection, can often be the most practical way of communicating an efficient frontier. The most popular method is to minimize variance subject to fixed levels of expected ∗Corresponding author [email protected]

Stocks market performance measurement has long been regarded as the most interesting part in investment. Many new methods emerge every year but most of these are rooted from Modern Portfolio theory by Harry Markowitz. In this research paper, we have used the efficient frontier from modern portfolio theory to determine the best stocks performance in KLCI index from 2006-2010. The data is compare...

Portfolio decision analysis models support decisions on the allocation of resources among assets with uncertain outcomes (e.g., investments, projects or stocks). These require information maker’s risk-preferences which can be difficult to obtain in practice. Stochastic dominance criteria show promise this regard as they compare portfolios without exact specification risk-preferences, but curren...

The Pension Fund of PT Pos Indonesia (Dapenpos) is considering cutting off all its stock from the portfolio and trying to find optimal increase funding ratio level. This research using Modern Portfolio Theory (MPT) by Markowitz solve current issue faced company optimizing company’s portfolio, universe, modified company. optimization complying OJK regulation as well investment direction with con...

In portfolio selection, strategies on an efficient frontier have been regarded as nondominated solutions because of the compensation to each increase unit of risk, and a rational decision maker has to consider other supplementary decision rules. This paper proposes an approach that helps a rational decision maker identify the best candidate strategy on an efficient frontier by taking the concep...