in recent years most of the research done on portfolio management have used different oplimizing models. this research has examined index models in optimizing portfolios and has tried to determine the efficient set. data are collected from companies accepted at the tehran stock exchange (1371-1375).

The Modern Portfolio Theory of Markowitz maximized portfolio expected return subject to holding total portfolio variance below a selected level. Digital Portfolio Theory is an extension of Modern Portfolio Theory, with the added dimension of memory. Digital Portfolio Theory decomposes the portfolio variance into independent components using the signal processing decomposition of variance. The r...

I introduce dynamic option trading and non-linear views into the classical portfolio selection problem. The optimal dynamic option portfolio is characterized explicitly in terms of its expected sensitivities (Greeks) and the role of the meanvariance efficient portfolio is played by the “Greek-efficient” portfolio. This is the portfolio that has the optimal sensitivities to chosen risk factors. ...

Portfolio optimization involves the optimal assignment of limited capital to different available financial assets to achieve a reasonable trade-off between profit and risk objectives. In this paper, we studied the extended Markowitz’s meanvariance portfolio optimization model. We considered the cardinality, quantity, pre-assignment and round lot constraints in the extended model. These four rea...

short-selling prohibition has been one of the primary assumptions of markowitz mean-variance model. solving markowitz quadratic model creates investment efficient frontier by considering only two return and budget constraints. in order to develop a more realistic portfolio selection model, in this paper, a new mathematical model is developed to allow short-selling under some practical constrain...

C onservationists must make hard choices about where to invest limited resources for the protection of biological diversity. Numerous prioritization schemes have identified places where biodiversity is especially rich or risks are especially urgent (1). Application of return on investment (ROI) thinking promises to make conservation investments much more efficient by explicitly incorporating ec...

In the science of operation research and decision theory, selection is the most important process. Selection is a process that studies multiple qualitative and quantitative criteria, related to the science of management, which are mostly incompatible with each other. The multi criteria selection of a renewable energy portfolio is one of the main issues considered in multi criteria literatur...

Value-at-Risk (VaR) is one of the most widely accepted risk measures in the financial and insurance industries, yet efficient optimization of VaR remains a very difficult problem. We propose a computationally tractable approximation method for minimizing the VaR of a portfolio based on robust optimization techniques. The method results in the optimization of a modified VaR measure, Asymmetry-Ro...