In this work introduce an adaptive method of portfolio optimization. The basic idea is to describe essential movements of the stock price using a hidden Markov model and to calculate the optimal portfolio using a recursive algorithm. The portfolio optimization is adaptive in the sense that the standard EM–algorithm fits the model to historical data, which improves the portfolio performance.

The capital market in each country is considered as the most important part of the economy and its fluctuations may reflect the economic situation of the country. In this paper, the hypothesis of convergence of stock market price indices in Asian countries during the period from January 2007 to February 2017 is investigated using cluster analysis method. The results show that there is no eviden...

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...

The stochastic nature of financial markets is a barrier for successful portfolio management. Besides traditional Markowitz’s model, many other portfolio selection models in Bayesian and Non-Bayesian frameworks have been developed. Starting with the basic Markowitz model, several cardinal models are used to find optimum portfolios with select stock set. Having developed the regression model of t...

modern portfolio theory is based on harry markowitz's 1952 work on mean-variance portfolios. he stated that a rational investor should either maximize his expected return for a given level of risk, or minimize his risk for a given expected return. in this study the markowitz model with cardinality constraints was studied. we extend the standard model to include cardinality constraints that...

Selecting approaches with appropriate accuracy and suitable speed for the purpose of making decision is one of the managers’ challenges. Also investing decision is one of the main decisions of managers and it can be referred to securities transaction in financial markets which is one of the investments approaches. When some assets and barriers of real world have been considered, optimization of...

A valuation model is presented for options on stocks for which BlackScholes arbitrage does not entirely eliminate risk. The price dynamics of a portfolio of options and the underlying security is quanti ed by requiring that the excess reward-to-risk ratio of the portfolio be identical to that of the underlying stock: excess return risk portfolio = excess return risk stock : The nonlinear evolut...

The main objective of this research is to optimize the stock portfolio of investment companies operating in the field of petrochemical and refining industries through minimizing risk with respect to the expected return. In this regard, first of all, the compositions of sample firm's portfolios were investigated during 2013 to 2016 and high-weight industries were selected. Then, the risk of retu...

Recent studies in financial economics suggest that technical analysis may have merit to predictability of stock. When attempting to create an efficient portfolio of stocks, there are numerous factors to consider. The problem is that the evaluation involves many qualitative factors, which causes most approximations to go off track. This paper presents a genetic programming approach to portfolio ...