We investigate a robust version of the portfolio selection problem under a risk measure based on the lower-partial moment (LPM), where uncertainty exists in the underlying distribution. We demonstrate that the problem formulations for robust portfolio selection based on the worst-case LPMs of...

When we implement a portfolio selection methodology under a mean-risk formulation, it is essential to correctly model investors' risk aversion which may be time-dependent, or even state-dependent during the investment procedure. In this paper, we propose a behavior risk aversion model, which is...

Investors interested in the global financial market have to analyze financial securities internationally. The optimal global investment decision involves processing a huge amount of data for a high-dimensional portfolio. This paper investigates the big data challenges of two mean-variance...