Search results for "Folio"
showing 10 items of 319 documents
A multi-objective genetic algorithm for cardinality constrained fuzzy portfolio selection
2012
This paper presents a new procedure that extends genetic algorithms from their traditional domain of optimization to fuzzy ranking strategy for selecting efficient portfolios of restricted cardinality. The uncertainty of the returns on a given portfolio is modeled using fuzzy quantities and a downside risk function is used to describe the investor's aversion to risk. The fitness functions are based both on the value and the ambiguity of the trapezoidal fuzzy number which represents the uncertainty on the return. The soft-computing approach allows us to consider uncertainty and vagueness in databases and also to incorporate subjective characteristics into the portfolio selection problem. We …
Fuzzy portfolio selection based on the analysis of efficient frontiers
2011
We present an algorithm for analyzing the geometry of the efficient frontier of the portfolio selection problem with semicontinuous variable and cardinality constraints, and use it as a basis to solve a fuzzy version of the problem, designed to obtain efficient portfolios, in the Markowitz's sense, for which the trade-off between expected return and assumed risk fits better the investor's subjective criteria. We illustrate our proposal with an example solved with LINGO and Mathematica.
Continuous-time portfolio optimization under terminal wealth constraints
1995
Typically portfolio analysis is based on the expected utility or the mean-variance approach. Although the expected utility approach is the more general one, practitioners still appreciate the mean-variance approach. We give a common framework including both types of selection criteria as special cases by considering portfolio problems with terminal wealth constraints. Moreover, we propose a solution method for such constrained problems.
Optimal control of option portfolios and applications
1999
We present an expected utility maximisation framework for optimally controlling a portfolio of options. By combining the replication approach to option pricing with ideas of the martingale approach to (stock) portfolio optimisation we arrive at an explicit solution of the option portfolio problem. Its characteristics are illustrated by some specific examples. As an application, we calculate an optimal option and consumption strategy for an investor who is obliged to hold a stock position until the time horizon.
Interactive multiobjective optimization with NIMBUS for decision making under uncertainty
2013
We propose an interactive method for decision making under uncertainty, where uncertainty is related to the lack of understanding about consequences of actions. Such situations are typical, for example, in design problems, where a decision maker has to make a decision about a design at a certain moment of time even though the actual consequences of this decision can be possibly seen only many years later. To overcome the difficulty of predicting future events when no probabilities of events are available, our method utilizes groupings of objectives or scenarios to capture different types of future events. Each scenario is modeled as a multiobjective optimization problem to represent differe…
A Stochastic Soft Constraints Fuzzy Model for a Portfolio Selection Problem
2006
The financial market behavior is affected by several non-probabilistic factors such as vagueness and ambiguity. In this paper we develop a multistage stochastic soft constraints fuzzy program with recourse in order to capture both uncertainty and imprecision as well as to solve a portfolio management problem. The results we obtained confirm the studies carried out in literature addressed to integrate stochastic and possibilistic programming.
Varadhan estimates without probability: lower bound
2007
We translate in semi-group theory our proof of Varadhan estimates for subelliptic Laplacians which was using the theory of large deviations of Wentzel-Freidlin and the Malliavin Calculus of Bismut type.
A Conditional Value–at–Risk Model for Insurance Products with Guarantee
2009
We propose a model to select the optimal portfolio which underlies insurance policies with a guarantee. The objective function is defined in order to minimise the conditional value at-risk (CVaR) of the distribution of the losses with respect to a target return. We add operational and regulatory constraints to make the model as flexible as possible when used for real applications. We show that the integration of the asset and liability side yields superior performances with respect to naive fixed-mix portfolios and asset based strategies. We validate the model on out-of-sample scenarios and provide insights on policy design.
Designing portfolios of financial products via integrated simulation and optimization models
1999
We analyze the problem of debt issuance through the sale of innovative financial products. The problem is broken down to questions of designing the financial products, specifying the debt structure with the amount issued in each product, and determining an optimal level of financial leverage. We formulate a hierarchical optimization model to integrate these three issues and provide constructive answers. Input data for the models are obtained from Monte Carlo simulation procedures that generate scenarios of holding period returns of the designed products. The hierarchical optimization model is specialized for the problem of issuing a portfolio of callable bonds to fund mortgage assets. The …
Can digitisation help overcome linguistic and strategic disadvantages in international media markets? Exploring cross-border business opportunities f…
2018
The media economy and production literature offers insights into the international activities of media companies that provide products in ‘world languages’. Researchers point out that English-language content and, thus, English-language companies have a linguistic advantage and dominate the global media market. In comparison, there is limited knowledge of how companies that originate from non-dominant-language territories expand their activities abroad. This is all the more relevant as digitisation and fragmentation transform markets and new business opportunities arise. Against this background, we ask whether media companies from non-dominant-language markets can benefit from new constell…