This paper is the continuation of the paper entitled “Hereditary portfolio optimization with taxes and fixed plus proportional transaction costs I” that treats an infinite-time horizon hereditary portfolio optimization problem in a market that consists of one savings account and one stock account. Within the solvency region, the investor is allowed to consume from the savings account and can ma...

This paper deals with a portfolio selection problem based on the possibility theory under the assumption that the returns of assets are LR-type fuzzy numbers. A possibilistic portfolio model with transaction costs is proposed, in which the possibilistic mean value of the return is termed measure of investment return, and the possibilistic variance of the return is termed measure of investment r...

The optimization of investment portfolios is the most important topic in financial decision making, and many relevant models can be found in the literature.  According to importance of portfolio optimization in this paper, deals with novel solution approaches to solve new developed portfolio optimization model. Contrary to previous work, the uncertainty of future retur...

The problem of interest in this paper is the optimization of portfolios of real and contractual assets, including derivative instruments, subject to a Value-at-Risk (VaR) constraint. The focus in this paper is on translating VaR definitions for one period of time, say a year, to decisions on shorter periods of time, say a week or a month. Thus, if a VaR constraint is imposed on annual cash flow...

A new approach to solve Chance constrained Portfolio Optimization Problems (CPOPs) without using the Monte Carlo simulation is proposed. Specifically, according to Chebyshev inequality, the prediction interval of a stochastic function value included in CPOP is estimated from a set of samples. By using the prediction interval, CPOP is transformed into Lower-bound Portfolio Optimization Problem (...

Risk Budgeted portfolio optimization problem centering on the twin objectives of maximizing expected portfolio return and minimizing portfolio risk and incorporating the risk budgeting investment strategy, turns complex for direct solving by classical methods triggering the need to look for metaheuristic solutions. This work explores the application of an extended Ant Colony Optimization algori...

We evaluate conditional value-at-risk (CVaR) as a risk measure in data-driven portfolio optimization. We show that portfolios obtained by solving mean-CVaR and global minimum CVaR problems are unreliable due to estimation errors of CVaR and/or the mean, which are aggravated by optimization. This problem is exacerbated when the tail of the return distribution is made heavier. We conclude that CV...

In this paper, we developed a new robust model of multi-period portfolio problem. One of the key concerns in any asset allocation problem is how to cope with uncertainty about future returns. There are some approaches in the literature for this purpose including stochastic programming and robust optimization. Applying these techniques to multi-period portfolio problem may increase the problem s...