How to allocate resources and select the type of investment is very important . The optimal allocation, especially in the financial markets of countries that are paced growth factor, is very significance. In this research toward optimizing resource allocation, an innovative learning algorithm...

This paper discusses the role that Genetic Algorithms (GA) can have in determining asset allocation for multi sector funds. We present an asset allocation model where the investors' utility function departs from the quadratic utility function assumed by the standard Mean-Variance optimisation....

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...

This paper features an analysis of the cointegration relationships among agricultural commodity, ethanol and Cushing crude oil spot and futures prices. The use of grains for the creation of bio-fuels has sparked fears that these demands are inflating food prices. We analyse approximately 10...

Fuzzy mathematical programming is a main approach of multi-objective decision making, which prepares the decision makers to obtain the solution that satisfies his/her preference. In this paper, a fuzzy weighted max–min model for a mean–absolute deviation portfolio selection problem with real...