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In the present paper a kind of bilevel programming problem in 0–1 variables, based on the mathematical model attached by us to a concrete portfolio optimization problem, is analyzed. The upper level function is to be maximized, while the lower level function (which is a biobjective function) is to be maximized-minimized in the lexicographic sense. The core idea of this paper is to present a way for...
We focus on the optimal portfolio selection problem where the objective function is expressed by mean Conditional value-at-risk (mean-CVaR). In general, since the density function of underlying risk factors is not available, and then the calculation of CVaR is rather difficult and can not derive the optimal solution. Therefore, we propose the mean-CVaR portfolio optimization model to deal with the...
The asset evaluation process plays an important role in portfolio optimization because it is the prerequisite for investment decision making and directly influences on the asset allocation. This paper presents an evaluation analysis of stock investment for portfolio optimization based on data envelopment analysis (DEA) model. Considering the relationship between portfolio return and risk, the efficient...
This paper integrates the entropy theory into Markowitz portfolio model to make a better performance in simulation for the relation between investment return and risk. With historical data of stocks in different industrial sectors, empirical analysis is conducted for the portfolio optimization. The study is superior to the standard approach, performing well with fairly few examples, particularly when...
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