I examine an investor’s portfolio allocation problem across multiple risky assets in the presence of return predictability when, in addition to the predictability evidence, the investor uses conditional asset pricing models to guide him in the portfolio selection decision. I also explore how the uncertainty associated with the model dynamics affects the investor’s optimal portfolio. To analyze ...

In this study, we present a multi-objective approach based on a mean-varianceskewness-entropy portfolio selection model (MVSEM). In this approach, an entropy measure is added to the mean-variance-skewness model (MVSM) to generate a well-diversified portfolio. Through a variety of empirical data sets, we evaluate the performance of the MVSEM in terms of several portfolio performance measures. Th...

The research on service supply chain has attracted more and more focus from both academia and industrial community. In a service supply chain, the selection of supplier portfolio is an important and difficult problem due to the fact that a supplier portfolio may include multiple suppliers from a variety of fields. To address this problem, we propose a novel supplier portfolio selection method b...

This paper considers a problem of multi-period supply portfolio selection and execution with demand information updates. A supply portfolio specifies a buyer’s decision on selecting sourcing mix from among a group of suppliers. We develop a framework for optimal supply portfolio selection and execution. Further, we demonstrate that the optimal portfolio selection follows a base-stock policy and...

This paper proposes a framework of IT portfolio selection and examines the impact of IT synergy on a firm’s IT portfolio selection. IT resources can be distinguished from other forms of resources by their great potential of enhancing synergy between IT units. Based on prior discussion on types of IT synergy, we classify IT synergy into three types and examine the effects of the different types ...

Project portfolio selection is very important subject of decision-makers in project-based organizations. The best assignment of resources to the most appropriate projects is necessary as financing projects with low benefit is just waste of organization's resources. However, existing project selection models pay not much attention the structure and special features of projects as a selection cri...

In this paper we reconcile why it is possible that people in finance view conventional portfolio selection as a single criterion problem and people in multiple criteria optimization view it as a bi-criterion problem. We then show how, for more complex investors, the theory of mean-variance portfolio selection can be extended to include additional objectives such as dividends, liquidity, turnove...

This paper examines some performance measures to be considered as an alternative of the Sharpe Ratio. More specifically, we analyze allocation problems taking into consideration portfolio selection models based on different performance ratios. For each allocation problem, we compare the maximum expected utility observing all the portfolio selection approaches proposed here. We also discuss an e...

The Portfolio selection problem is a relevant problem arising in finance and economics. Some practical formulations of the problem include various kinds of nonlinear constraints and objectives and can be efficiently solved by approximate algorithms. Among the most effective approximate algorithms, are metaheuristic methods that have been proved to be very successful in many applications. This ...