nowadays organization especially r&d; centers are dealing with project portfolio selection decisions under uncertainty. moreover in the most of the past research, project portfolio selection and scheduling are often considered to be independent problem. this leads to insufficient result in real world. so in this research simultaneous project portfolio selection and scheduling problem is modelin...

 Ambiguity in the inputs of the models is typical especially in portfolio selection problem where the true distribution of random variables is usually unknown. Here we use robust optimization approach to address the ambiguity in conditional-value-at-risk minimization model. We obtain explicit models of the robust conditional-value-at-risk minimization for polyhedral and correlated polyhedral am...

Portfolio selection is concerned with optimization of capital allocation to a large number of securities. In portfolio selection, risk analysis is one of the most important topics and research on quantitative definition of risk remains core of the topic. This paper proposes a novel risk definition for portfolio selection with uncertain returns. A risk curve is introduced and a new safe criterio...

The business environment is full of uncertainties. Investing in various asset classes may lower the risk of overall portfolio and increase the potential for greater returns. In this paper, we propose a bi-objective mixed asset portfolio selection model involving projects as well as securities. Furthermore, based on fuzzy decision theory, a fuzzy mixed projects and securities portfolio selection...

Cooperative investment consists of two problems: finding an optimal cooperative investment strategy and fairly dividing investment outcome among participating agents. In general, the two problems cannot be solved separately. It is known that when agents’ preferences are represented by mean-deviation functionals, sharing of optimal portfolio creates instruments that, on the one hand, satisfy ind...

Declaring a benchmark for a manager allows to better define the risk profile of the fund and to evaluate the relative performance against the market (Jorion (2003)). The issue of attracting potential investors in a period of financial crisis and economic recession arise the challenge of designing products which are capable of attracting the interest of investors and highlights the need for clea...

Resource limitation in zero time may cause to some profitable projects not to be selected in project selection problem, thus simultaneous project portfolio selection and scheduling problem has received significant attention. In this study, budget, investment costs and earnings are considered to be stochastic. The objectives are maximizing net present values of selected projects and minimizing v...

This paper evaluates out-of-sample dynamic portfolio performance to examine the economic value of exploiting time variation in the risk premium and in the volatility of stock returns to a multiperiod investor. We find that ignoring time variation in these return moments leads to significant utility costs. The time-varying risk premium plays a more important role than time-varying volatility in ...

Project portfolio selection is one of the most important decision-making problems for most organizations in project management and engineering management. Usually project portfolio decisions are very complicated when project interactions in terms of multiple selection criteria and preference information of decision makers (DMs) in terms of the criteria importance are taken into consideration si...

Financial returns exhibit stylized facts such as leptokurtosis, skewness and heavy-tailness. Regarding this behavior, in this paper, we apply multivariate generalized hyperbolic (mGH) distribution for portfolio modeling and performance evaluation, using conditional value at risk (CVaR) as a risk measure and allocating best weights for portfolio selection. Moreover, a robust portfolio optimizati...