This paper considers an optimal portfolio selection problem under Markowitz's mean-variance portfolio selection problem in a multi-period regime-switching model. We assume that there are n + 1 securities in the market. Given an economic state which is modelled by a finite state Markov chain, the...

The financial market interest several researchers, especially in the domain of assessment of the financial assets and their performances. The previous research identified several anomalies of the market, as size, Monday, January, PER effects, etc. putting in question the notion of market...

We propose a linear bi-objective optimization approach to the problem of finding a portfolio that maximizes average excess return with respect to a benchmark index while minimizing underperformance over a learning period. We establish some theoretical results linking classical No Arbitrage...

We develop a Stochastic Dominance methodology to analyze if new assets expand the investment possibilities for rational nonsatiable and risk-averse investors. This methodology avoids the simplifying assumptions underlying the traditional mean-variance approach to spanning. The methodology is...

This paper develops a return forecasting methodology that allows for instabil ity in the relationship between stock returns and predictor variables, for model uncertainty, and for parameter estimation uncertainty. The predictive regres sion speci¯cation that is put forward allows for occasional...

This paper discusses a portfolio adjusting problem with additional risk assets and a riskless asset in the situation where security returns are given by experts' evaluations rather than historical data. Uncertain variables are employed to describe the security returns. Using expected value and...

A new model class for univariate asset returns is proposed which involves the use of mixtures of stable Paretian distributions, and readily lends itself to use in a multivariate context for portfolio selection. The model nests numerous ones currently in use, and is shown to outperform all its...

This paper proposes and investigates the use of several factors for portfolio selection of international mutual funds. Three of the selected factors are specific to mutual funds, additional three factors are taken from Macroeconomics and one factor represents regional and country preferences....

This paper considers a multi-period mean–variance portfolio selection problem with uncertain time-horizon in a regime-switching market, where the conditional distribution of the time-horizon is assumed to be stochastic and depends on the market states as the returns of risky assets do....

We investigate in this paper a continuous-time mean–variance portfolio selection problem in a general market setting with multiple assets that all can be risky. Using the Lagrange duality method and the dynamic programming approach, we derive explicit closed-form expressions for the efficient...