The purpose of this study is to apply polynomial goal programming to establish a new portfolio selection model that considers the tradeoffs between expected return and Value-at-Risk (VaR) of portfolios and the flexibility of incorporating investor's preferences. The historical data of 10...

We propose a single-period portfolio selection model which allows the decision maker to easily deal with uncertainty about the distribution of asset returns. The model is preference-based and relies upon a separate parametrization of risk aversion and ambiguity aversion. A particular...

The classical models of portfolio selection could not be applied on a market were the efficient market hypothesis is not valid (at least in a "weak" sense). The aim of this paper is to enlighten the difficulties of portfolio construction in a financial market with institutional and structural...

Overall, 72 subjects invest their endowment in four risky assets. Each com-bination of assets yields the same expected return and variance of returns. Illusion of expertise prevails when one prefers nevertheless the self-selected portfolio. After being randomly assigned to groups of four...

This paper tests the relationship between above market returns and beta, size, leverage, book-to-market equity and earning-price ratios for the Bucharest Stock Exchange common stocks. Results from cross-sectional regressions document that both book-to-market equity and earning-price ratios are...

We consider the portfolio selection problem in the accumulation phase of a defined contribution pension scheme in continuous time, and compare the mean-variance and the expected utility maximization approaches. Using the embedding technique pioneered by Zhou and Li (2000) we first find the...

The development and use of dynamic optimization model is extremely important in financial markets. The classical mean-variance portfolio model assumes the expected returns are known with perfect precision. In practice, however, it is extremely difficult to estimate precisely. While portfolios...

In this paper, we propose use of the influence diagram for stock portfolio selection. We use an algorithm that applies the mutual information as the metric to guide the refinement of the influence diagram. We applied the algorithm to the conceptual refinement of the influence diagram. We tested...