Decision making about portfolio selection problem under uncertainty is very important and critical, so it is rational and necessary to use ideas of a DM who is proficient in stochastic problems. For example, the Goal Attainment Programming (GAP) is one of the methods in priori category that...

The class of defensive online portfolio selection algorithms, designed for finite investment horizon, is introduced. The game constantly rebalanced portfolio and the worst case game constantly rebalanced portfolio, are presented and theoretically analysed. The analysis exploits the rich set of...

We solve different constrained mean-risk portfolio optimisation models using a recently developed simulated annealing-based multiobjective optimisation algorithm. We consider practical and widely used constraints in portfolio modelling, i.e., the cardinality constraint which imposes a limit on...

Diversification and portfolio selection are integral parts of a finance curriculum. In this article, a multifactor capital asset pricing model is fit for components of the Dow Jones Composite Index using data from Yahoo! Finance. Along with the capital asset pricing model's Beta, other...

Finance is in the midst of a paradigm shift, from a neoclassical based framework to a psychologically based framework. Behavioral finance is the application of psychology to financial decision making and financial markets. Behavioralizing finance is the process of replacing neoclassical...

In the paper discrete time portfolio selection with maximization of the risk sensitized growth rate with and without transaction costs is considered. Copyright Springer-Verlag Berlin Heidelberg 1999

A well-known regulation on the management of a closed-end mutual fund is that the managers’ account cannot invest in risky assets. This paper studies the impact of this regulation under a given management fee structure such that the cumulative management fee rate is described by a fixed RCLL...

This paper studies the consumption and portfolio selection problem of an agent who is liquidity constrained and has uninsurable income risk in a discrete time setting. It gives properties of optimal policies and presents numerical solutions. The paper, in particular, shows that liquidity...

Do entrepreneurs consider the risk of their business equity when making investment portfolio allocations? Many people compartmentalize different risks and consider them separately, called mental accounting. Alternatively, the risk substitution hypothesis suggests that entrepreneurs would offset...

Usually in financial textbooks and courses the theory of portfolio selection is taught in a strictly theoretical way. There is a model (Markowitz) that stipulates that an investor has preferences and that she will choose the best portfolio, given her preference curves and an efficient frontier....