Should an investor unwind his portfolio in the face of changing economic conditions? We study an investor's optimal trading strategy with finite horizon and transaction costs in an economy that switches stochastically between two market conditions. We fully characterize the investor's time...

We propose a way of using DEA cross-efficiency evaluation in portfolio selection. While cross efficiency is an approach developed for peer evaluation, we improve its use in portfolio selection. In addition to (average) cross-efficiency scores, we suggest to examine the variations of...

Practically all organizations seek to create value by selecting and executing portfolios of actions that consume resources. Typically, the resulting value is uncertain, and thus organizations must take decisions based on ex ante estimates about what this future value will be. In this paper, we...

This paper discusses a portfolio selection problem in which security returns are given by experts’ evaluations instead of historical data. A factor method for evaluating security returns based on experts’ judgment is proposed and a mean-chance model for optimal portfolio selection is...

We show theoretically that lower tail dependence (χ), a measure of the probability that a portfolio will suffer large losses given that the market does, contains important information for risk-averse investors. We then estimate χ for a sample of DJIA stocks and show that it differs...

Existen numerosas aplicaciones mobiliarias e inmobiliarias del modelo de selección de carteras de Sharpe. Este modelo también se ha adaptado a la planificación de actividades en contexto de riesgo, particularmente a la planificación de cultivos en España. La aplicación a la selección de...

This article investigates how the mean- variance efficient frontier defined by sovereign bonds of 20 developed countries is affected by the consideration of socially responsible indicators for countries in investment decision-making. For a global rating of socially responsible performances, we...

This paper investigates the impact of multiplicative background risk on an investor's portfolio choice in a mean-variance framework. We also study the efficient boundary frontiers with and without risk-free security.

Stochastic programming is widely applied in financial decision problems. In particular, when we need to carry out the actual calculations for portfolio selection problems, we have to assign a value for each expected return and the associated conditional probability in advance. These estimated...