This paper proposes a nonparametric efficiency measurement approach for the static portfolio selection problem in mean-variance-skewness space. A shortage function is defined that looks for possible increases in return and skewness and decreases in variance. Global optimality is guaranteed for...

We consider a multiperiod mean-variance model where the model parameters change according to a stochastic market. The mean vector and covariance matrix of the random returns of risky assets all depend on the state of the market during any period where the market process is assumed to follow a...

Using geometric illustrations, we investigate what implications of portfolio optimization in equilibrium can be generated by the simple mean-variance framework, under margin borrowing restrictions. First, we investigate the case of uniform marginability on all risky assets. It is shown that...

In this paper we propose a heuristic approach based on bacterial foraging optimization (BFO) in order to find the efficient frontier associated with the portfolio optimization (PO) problem. The PO model with cardinality and bounding constraints is a mixed quadratic and integer programming...

We consider a multiperiod mean-variance model where the model parameters change according to a stochastic market. The mean vector and covariance matrix of the random returns of risky assets all depend on the state of the market during any period where the market process is assumed to follow a...

In a traditional mean-variance approach a portfolio is represented by the allocation vector optimized in terms of expected returns and variances. Basic assumption is that the allocation vector may only be the driver of a portfolio risk-reward trade-off, while all constituent assets are fully...

This work gives a brief overview of the portfolio selection problem following the mean-risk approach first proposed by Markowitz (1952). We consider various risk measures, i.e. variance, value-at-risk and expected-shortfall and we study the efficient frontiers obtained by solving the portfolio...

A general class of variational models with concave priors is considered for obtaining certain sparse solutions, for which nonsmoothness and non-Lipschitz continuity of the objective functions pose significant challenges from an analytical as well as numerical point of view. For computing a...

This paper is concerned with porfolio optimization problems with integer constraints. Such problems include, among others mean-risk problems with nonconvex transaction cost, minimal transaction unit constraints and cardinality constraints on the number of assets in a portfolio. These problems,...

This paper proposes a pragmatic, discrete time indicator to gauge the performance of port-folios over time. Integrating the shortage function (Luenberger, 1995) into a Luenberger portfolio productivity indicator (Chambers, 2002), this study estimates the changes in the relative positions of...