We develop a novel Mean-Max Drawdown portfolio optimization approach using buy-and-hold portfolios. The optimization is performed utilizing a multi-objective evolutionary algorithm on a sample of S&P 100 constituents. Our optimization procedure provides portfolios with better Mean-Max Drawdown...

This paper extends the socially responsible multiobjective problem to (i) estimating optimal portfolios via reward/risk maximization, (ii) including dependence structure between asset returns using vine copulas, and (iii) incorporating enhanced indexation utilizing cumulative zero-order...

The algorithm for optimization of a credit portfolio has not been fully demonstrated. This paper fills the gap in the literature by presenting a general approach for optimizing a credit portfolio by minimizing the default risk of the entire portfolio. Default risk is measured with quadratic...

The purpose of this study is to incorporate some of the influential findings in the forecasting literature in an integrated framework to examine whether a real-time optimizing investor can benefit from the stock market by allocating assets based on a predictive model that only uses industry...

The rapid growth of the voluminous literature on portfolio selection is indicative of widespread interest both amongst academic and business communities. The path breaking works of Nobel Laureates Harry Markowitz, William Sharpe and Robert Merton has evoked a serious interest of researchers...

Value-at-risk (VaR) and conditional value-at-risk (CVaR) are popular risk measures from academic, industrial and regulatory perspectives. The problem of minimizing CVaR is theoretically known to be of a Neyman-Pearson type binary solution. We add a constraint on expected return to investigate...