Score‐hesitation trade‐off and portfolio selection under intuitionistic fuzzy environment
Sign Up to like & getrecommendations! Published in 2019 at "International Journal of Intelligent Systems"
DOI: 10.1002/int.22052
Abstract: Qualitative portfolio selection approach is a suitable technique for obtaining an optimal portfolio when quantitative data are unavailable and traditional portfolio models are ineffective. However, few studies focus on this issue. This study addresses the… read more here.
Keywords: portfolio; score hesitation; portfolio selection; intuitionistic fuzzy ... See more keywords
Portfolio selection model of oil projects under uncertain environment
Sign Up to like & getrecommendations! Published in 2018 at "Soft Computing"
DOI: 10.1007/s00500-017-2619-2
Abstract: This paper discusses the oil project optimal portfolio selection under uncertain environment where cash flows of the projects are mostly determined by experts’ estimations due to the lack of historical investment data. The oil project… read more here.
Keywords: uncertain environment; portfolio selection; project; oil ... See more keywords
Feature selection for portfolio optimization
Sign Up to like & getrecommendations! Published in 2017 at "Annals of Operations Research"
DOI: 10.1007/s10479-016-2155-y
Abstract: Most portfolio selection rules based on the sample mean and covariance matrix perform poorly out-of-sample. Moreover, there is a growing body of evidence that such optimization rules are not able to beat simple rules of… read more here.
Keywords: feature selection; portfolio; portfolio selection; selection ... See more keywords
A sparse chance constrained portfolio selection model with multiple constraints
Sign Up to like & getrecommendations! Published in 2020 at "Journal of Global Optimization"
DOI: 10.1007/s10898-020-00901-3
Abstract: This paper presents a general sparse portfolio selection model with expectation, chance and cardinality constraints. For the sparse portfolio selection model, we derive respectively the sample based reformulation and distributionally robust reformulation with mixture distribution… read more here.
Keywords: multiple constraints; model; selection model; portfolio selection ... See more keywords
A Review on Ambiguity in Stochastic Portfolio Optimization
Sign Up to like & getrecommendations! Published in 2017 at "Set-Valued and Variational Analysis"
DOI: 10.1007/s11228-017-0458-z
Abstract: In mean-risk portfolio optimization, it is typically assumed that the assets follow a known distribution P0, which is estimated from observed data. Aiming at an investment strategy which is robust against possible misspecification of P0,… read more here.
Keywords: portfolio; portfolio selection; portfolio optimization; review ... See more keywords
Research and development project portfolio selection under uncertainty
Sign Up to like & getrecommendations! Published in 2018 at "Journal of Ambient Intelligence and Humanized Computing"
DOI: 10.1007/s12652-017-0564-7
Abstract: The problem of project portfolio selection consists in allocating resources (for instance money) to a set of proposals optimizing certain impact measures [Litvinchev et al. (J Comput Syst Sci Int 50(6):942–952, 2011)]. We develop a model… read more here.
Keywords: portfolio; project portfolio; portfolio selection; uncertainty ... See more keywords
Project portfolio selection for construction contractors by MCDM–GIS approach
Sign Up to like & getrecommendations! Published in 2019 at "International Journal of Environmental Science and Technology"
DOI: 10.1007/s13762-019-02248-z
Abstract: In this paper, project portfolio selection (PPS) is considered as one of the main steps in project portfolio management (PPM). PPS which depends on different criteria such as strategic, financial, as well as project specifications… read more here.
Keywords: project portfolio; project; portfolio selection; approach ... See more keywords
Time Consistent Multi-period Worst-Case Risk Measure in Robust Portfolio Selection
Sign Up to like & getrecommendations! Published in 2018 at "Journal of the Operations Research Society of China"
DOI: 10.1007/s40305-017-0188-9
Abstract: In this paper, we first construct a time consistent multi-period worst-case risk measure, which measures the dynamic investment risk period-wise from a distributionally robust perspective. Under the usually adopted uncertainty set, we derive the explicit… read more here.
Keywords: multi period; risk measure; portfolio selection; period ... See more keywords
Multi-period portfolio selection problem under uncertain environment with bankruptcy constraint
Sign Up to like & getrecommendations! Published in 2018 at "Applied Mathematical Modelling"
DOI: 10.1016/j.apm.2017.12.016
Abstract: Abstract The complexity of financial markets leads to different types of indeterminate asset returns. For example, asset returns are considered as random variables, when the available data is enough. When the available data is too… read more here.
Keywords: multi period; portfolio selection; period portfolio; selection problem ... See more keywords
Portfolio selection with proportional transaction costs and predictability
Sign Up to like & getrecommendations! Published in 2018 at "Journal of Banking and Finance"
DOI: 10.1016/j.jbankfin.2018.07.012
Abstract: We consider the portfolio optimization problem for a multiperiod investor who seeks to maximize her utility of consumption facing multiple risky assets and proportional transaction costs in the presence of return predictability. Due to the… read more here.
Keywords: transaction costs; predictability; portfolio selection; proportional transaction ... See more keywords
Portfolio selection of renewable energy-powered desalination systems with sustainability perspective: A novel MADM-based framework under data uncertainties
Sign Up to like & getrecommendations! Published in 2020 at "Journal of Cleaner Production"
DOI: 10.1016/j.jclepro.2020.124114
Abstract: Abstract Harnessing renewable energy (RE) sources to power desalination systems can migrate the pressures of freshwater scarcity and fossil fuel depletion. In this paper, a novel mathematical framework was developed to assess the sustainability of… read more here.
Keywords: desalination; desalination systems; powered desalination; renewable energy ... See more keywords