We investigate a portfolio selection problem involving an agent’s realistic housing service choice, where the agent not only has to choose size of house live in, but also select between renting and purchasing house. Adopting dynamic programming approach, we derive closed-form solution obtain optimal policies for consumption, investment, service, time present various numerical demonstrations sho...

criteria in household portfolio. to do this, the data which are related to the asset price are used including: bank deposit, bonds, stock, exchange, coin, land and housing in time period of 1997 to 2011. in this research, portfolio var id calculated in the confidence level of 90%, 95%, and 99% and in time periods of one year and 14 years. after calculating returns, return standard deviation, co...

the stock evaluation process plays an important role in portfolio selection because it is the prerequisite for investment and directly influences on the stock allocation. this paper presents a methodology based on data envelopment analysis for portfolio selection, decision making units which can be stocks or other financial assets. first, dmus efficiencies are computed based on input/output com...

return maximization or risk minimization is goal in portfolio optimization based on mean variance theory. the structure of correlation matrices and individual variance of each asset are two main factors in optimization with risk minimization object. it’s necessary to use appropriate variance and correlation coefficient for time series with clustering volatilities feature, too. in this research,...

In this study, we use a Dynamic Stochastic General Equilibrium (DSGE) model to investigate the household portfolio channel of monetary and credit shocks transmission in Iran. In this regard, we developed a canonical New Keynesian DSGE model with financial and banking sectors. The model is estimated by Bayesian method for the period 1990-2012. The result showed that the current and expected pric...

This paper develops a bi-objective portfolio selection problem that maximizes returns and minimizes a risk measure called conditional Drawdown (CDD). The drawdown measures include the maximal Drawdown and Average Drawdown as its limiting case. The CDD family of risk functional is similar to conditional value at Risk (CVaR). In this paper, the fuzzy method has been used to solve the bi-objec...

Due to the increasing size of the population, society faces several challenges for sustainable and adequate agricultural production, quality, distribution, and food safety in the strategic project portfolio selection (SPPS). The initial adaptation of strategic portfolio management of genetically modified (GM) Agro by-products (Ab-Ps) is a huge challenge in terms of processing the agro food prod...

Automobile hull insurance has attracted much attention due to the high rate of vehicle applications in daily lives. Since purchasing these policies is optional in Iran and their premium rates are set competitively, a competition is formed among the insurance companies for attracting low risk drivers. However, most of the insurers still use comparative rates and pay no or less attention to the f...