We consider the problem of optimally selecting a large portfolio of risky loans, such as mortgages, credit cards, auto loans, student loans, or business loans. Examples include loan portfolios held by financial institutions and fixed-income investors as well as pools of loans backing mortgageand asset-backed securities. The size of these portfolios can range from the thousands to even hundreds ...

Multicriteria project evaluation and resource allocation decisions are central and recurrent activities in business and public administration alike. These problems are typically characterized by large number of project proposals, portfolio balance requirements and other constraints; they are also often pressed by urgency and limited data availability. Simple additive scoring models, which o er ...

The main purpose of this research is portfolio optimization in Tehran securities exchange using the black hole algorithm and the Gravitational Research algorithm. We also propose an algorithm named Hybrid Algorithm which combines the two algorithms above to cover the weaknesses of these two algorithms. Finally we compare the results with the Markowitz model and choose the optimal algorithm.<br ...

The performance of SVM models often depends on the proper choice of their regularized parameter(s). Some recent researches have been focusing on efficiently building all SVM models against the regularized parameters, thus defining a task of tracing the regularized piecewise linear solution path for SVMs. It has been widely known from an optimization view many SVM types can be formulated into qu...

We consider a continuous-time stochastic optimization problem with infinite horizon, linear dynamics, and cone constraintswhich includes as a particular case portfolio selection problems under transaction costs for models of stock and currency markets. Using an appropriate geometric formalism we show that the Bellman function is the unique viscosity solution of a HJB equation.

We consider the terminal wealth utility maximization problem from the point of view of a portfolio manager who is paid by an incentive scheme, which is given as a convex function g of the terminal wealth. The manager’s own utility function U is assumed to be smooth and strictly concave, however the resulting utility function U ◦ g fails to be concave. As a consequence, the problem considered he...

Adequately considering interactions among IT/IS projects in the process of constructing an IT/IS project portfolio is an important requirement for IT/IS project portfolio selection. Especially interactions caused by the simultaneous utilization of scarce resources are very common and of high relevance for IT/IS project portfolio selection problems. In the literature, resource interactions are a...

Ever since the inception of Markowitz’s modern portfolio theory, static portfolio optimization techniques were gradually phased out by dynamic portfolio management due to the growth of popularity in automated trading. In view of the intensive computational needs, it is common to use machine learning approaches on Sharpe ratio maximization for implementing dynamic portfolio optimization. In the ...

This paper develops rare event simulation methods for the estimation of portfolio credit risk — the risk of losses to a portfolio resulting from defaults of assets in the portfolio. Portfolio credit risk is measured through probabilities of large losses, which are typically due to defaults of many obligors (sources of credit risk) to which a portfolio is exposed. An essential element of a portf...

Design of investment portfolios is the most important activity in the management of mutual funds, retirement and pension funds, bank and insurance portfolio management. Such problems involve, first, choosing individual firms, industries, or industry groups that are expected to display strong performance in a competitive market, thus, leading to successful investments in the future; second, it a...