Among all aspects of IT Portfolio Management (ITPM), we find the key concept of efficient frontier to be the most applicable illustration for managing IT resources as multiple heterogeneous IT portfolios. To better assist decision-makers (e.g., senior executives) in selecting the most qualified IT portfolio choice, we propose a new IT Portfolio Efficient Frontier model that incorporates decisio...

Portfolio optimization is one of the most important issues for effective and economic investment. There is plenty of research in the literature addressing this issue. Most of these pieces of research attempt to make the Markowitz’s primary portfolio selection model more realistic or seek to solve the model for obtaining fairly optimum portfolios. An efficient frontier in the ...

Abstract—Constructing a portfolio of investments is one of the most significant financial decisions facing individuals and institutions. In accordance with the modern portfolio theory maximization of return at minimal risk should be the investment goal of any successful investor. In addition, the costs incurred when setting up a new portfolio or rebalancing an existing portfolio must be include...

In portfolio theory, it is well-known that the distributions of stock returns often have non-Gaussian characteristics. Therefore, we need non-symmetric distributions for modeling and accurate analysis of actuarial data. For this purpose and optimal portfolio selection, we use the Tail Mean-Variance (TMV) model, which focuses on the rare risks but high losses and usually happens in the tail of r...

A key result of the Capital Asset Pricing Model (CAPM) is that the market portfolio— the portfolio of all assets in which each asset’s weight is proportional to its total market capitalization—lies on the mean-variance-efficient frontier, the set of portfolios having mean-variance characteristics that cannot be improved upon. Therefore, the CAPM cannot be consistent with efficient frontiers for...

The literature suggests that investors prefer portfolios based on mean, variance and skewness rather than portfolios based on mean-variance (MV) criteria solely. Furthermore, a small variety of methods have been proposed to determine meanvariance-skewness (MVS) optimal portfolios. Recently, the shortage function has been introduced as a measure of efficiency, allowing to characterize MVS optima...

Because of non-convexities in the model, computing much of anything along the nondominated frontier of a large-scale (1000 to 3000 securities) portfolio selection problem with semi-continuous variables is a task that has not previously been achieved. But (a) given the speed at which the nondominated frontier of a classical portfolio problem can now be computed and (b) the possibility that there...

Index tracking aims to select portfolios that imitate the behavior of a stock index. A tracking strategy is referred to as partial when the tracking portfolio is solely formed by a subset of stocks, so enabling a substantial cost reduction in comparison with full tracking. Three criteria are usually employed in the literature when building the tracking portfolio: tracking error variance, excess...

this paper presents a new meta-heuristic solution to find the efficient frontier using the mean-variance approach. portfolio optimization problem is a quadratic programming model and, changes to np-hard if the number of assets and constraints has increased, and it cannot be solved using common mathematical methods in a reasonable time. therefore, a heuristic or meta-heuristic algorithm should b...

In standard portfolio theory, an investor is typically taken as having one stochastic objective, to maximize the random variable of portfolio return. But in this paper, we focus on investors whose purpose is to build, more broadly, a “suitable portfolio” taking additional concerns into account. Such investors would have additional stochastic and deterministic objectives that might include liqui...