This paper presents an optimal portfolio selection approach based on value at risk (VaR), conditional value at risk (CVaR), worst-case value at risk (WVaR) and partitioned value at risk (PVaR) measures as well as calculating these risk measures. Mathematical solution methods for solving these optimization problems are inadequate and very complex for a portfolio with high number of assets. For t...

In investment market, investors often pay attention to investment portfolio selection and asset allocation under market risk. Thus, this study presents a two-stage method of investment portfolio based on soft computing techniques. The first stage uses data envelopment analysis to select most profitable funds, while hybrid of genetic algorithm (GA) and particle swarm optimization (PSO)is propose...

despite the growing use of evolutionary multi-objective optimization algorithms in different categories of science, these algorithms as a powerful tool in portfolio optimization and specially solving multi-objective portfolio optimization problem is still in its early stages. in this paper, moeas have been used for solving multi-objective portfolio optimization problem in tehran stock market. f...

This paper deals with multi-period project portfolio selection problem. In this problem, the available budget is invested on the best portfolio of projects in each period such that the net profit is maximized. We also consider more realistic assumptions to cover wider range of applications than those reported in previous studies. A novel mathematical model is presented to solve the problem, con...

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...

One of the popular methods for optimizing combinational problems such as portfolio selection problem is swarmbased methods. In this paper, we have proposed an approach based on Quantum-Behaved Particle Swarm Optimization (QPSO) for the portfolio selection problem. The particle swarm optimization (PSO) is a well-known population-based swarm intelligence algorithm. QPSO is also proposed by combin...

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...

projects scheduling by the project portfolio selection, something that has its own complexity and its flexibility, can create different composition of the project portfolio. an integer programming model is formulated for the project portfolio selection and scheduling.two heuristic algorithms, genetic algorithm (ga) and simulated annealing (sa), are presented to solve the problem. results of cal...