Portfolio selection is concerned with optimization of capital allocation to a large number of securities. In portfolio selection, risk analysis is one of the most important topics and research on quantitative definition of risk remains core of the topic. This paper proposes a novel risk definition for portfolio selection with uncertain returns. A risk curve is introduced and a new safe criterio...

Using Metaheuristics models and Evolutionary Algorithms for solving portfolio problem has been considered in recent years.In this study, by using particles swarm optimization and tabu search algorithms we  optimized two-sided risk measures . A standard exact penalty function transforms the considered portfolio selection problem into an equivalent unconstrained minimization problem. And in final...

While a number of studies have analysed portfolio management in goods firms, few have focused on the processes and practices within service firms. This research project investigated the attitudes, approach and practices geared towards project portfolio management (PPM) in UK based financial service firms. An exploratory research approach is undertaken via in-depth interviews with key informants...

In this paper, we describe a methodology for reactively revising schedules in response to unexpected events. The approach is based on recognition of constraint conflicts in the existing schedule. Alternative scheduling actions, each offering selective advantages for conflict resolution, are available for resolving these conflicts. We present a model for action selection based on an analysis of ...

This paper provides a methodological framework in which the problem of IT project portfolio selection is solved by balancing between operational and strategic IT investments. From interviews with CIOs, we found that the interest in IT projects in many firms tends to center on operational benefits, rather than strategic benefits. We examined the impact of strategic IT investments from an IT port...

criteria in household portfolio. to do this, the data which are related to the asset price are used including: bank deposit, bonds, stock, exchange, coin, land and housing in time period of 1997 to 2011. in this research, portfolio var id calculated in the confidence level of 90%, 95%, and 99% and in time periods of one year and 14 years. after calculating returns, return standard deviation, co...

In this paper, we offer a new method of managing the risk of unexpected changes in mortality underlying annuities and life insurance. This method maximizes the insurer’s profit margin, subject to constraints on its downside mortality risk. We also show how to determine bounds on mortality margins when information on the moments of the distributions is known. We provide numerical examples to ill...

Modern Portfolio Theory (MPT) is based upon the classical Markowitz model which uses variance as a risk measure. A generalisation of this approach leads to mean-risk models, in which a return distribution is characterised by the expected value of return (desired to be large) and a ”risk” value (desired to be kept small). Portfolio choice is made by solving an optimisation problem, in which the ...