Search
Search Results
-
ChatGPT-Based Investment Portfolio Selection
In this paper, we explore potential uses of generative AI models, such as ChatGPT, for investment portfolio selection. Trusting investment advice...
-
Smoothed semicovariance estimation for portfolio selection
Downside risk measures, such as semivariance, are essential for evaluating investment risk. Focusing on semivariance allows investors to emphasize...
-
Mean–variance vs trend–risk portfolio selection
In this paper, we provide an alternative trend (time)-dependent risk measure to Ruttiens’ accrued returns variability (Ruttiens in Comput Econ...
-
Index-tracking portfolio selection with background risk
We develop an index tracking portfolio model while incorporating “background risks” that households cannot insure against or avoid. Examples of such...
-
Public R &D project portfolio selection under expenditure uncertainty
We consider a project portfolio selection problem faced by research councils in project and call-based R &D grant programs. In such programs,...
-
Consensus reaching process for portfolio selection: a behavioral approach
A portfolio selection problem can be modeled as a group decision problem in which several experts are invited to present their ideas and judgments....
-
Robust, extended goal programming with uncertainty sets: an application to a multi-objective portfolio selection problem leveraging DEA
This study presents a two-phase approach of Data Envelopment Analysis (DEA) and Goal Programming (GP) for portfolio selection, representing a...
-
Adaptive evolutionary algorithms for portfolio selection problems
In this contribution we propose to solve complex portfolio selection problems via Evolutionary Algorithms (EAs) that resort to adaptive parameter...
-
R&D project portfolio selection using the Iterative Trichotomic Approach in order to study how subjectivity of the weights is reflected in the selected projects of the final portfolio
Project portfolio selection is a common problem in modern organizations. The allocation of resources to projects taking into account (a) the...
-
A new fuzzy model for multi-criteria project portfolio selection based on modified Kerre’s inequality
Recently, a model for project portfolio selection have been proposed. Here, to modify the proposed model, we consider the parameters of model as...
-
Online Portfolio Selection with Long-Short Term Forecasting
This work considers an online portfolio selection problem with reward and risk criteria. We use short-term historical data to forecast the reward...
-
Multi-period portfolio selection with interval-based conditional value-at-risk
We propose a multi-period mean-risk portfolio model based as a risk measure on the interval conditional value at risk (ICVaR). The ICVaR was...
-
Responsible investing and portfolio selection: a shapley - CVaR approach
Socially responsible investments represent the heart of a sustainable and inclusive economy. The goals set by the regulatory framework have...
-
An analytical derivation of properly efficient sets in multi-objective portfolio selection
Computing efficient sets has long been a topic in multiple-objective optimization and research has made substantial progress. However, there are...
-
Interactive portfolio selection involving multicriteria sorting models
Given a set of items, the portfolio selection problem involves selecting a subset of the items subject to resource constraints. We propose in this...
-
Stock Portfolio Selection Hybridizing Fuzzy Base-Criterion Method and Evidence Theory in Triangular Fuzzy Environment
In this paper, an integrated multi-criteria decision-making framework is developed for portfolio construction by unifying the assessments of a novice...
-
The use of multi-criteria decision-making methods in project portfolio selection: a literature review and future research directions
In most project portfolio selection (PPS) situations, the presence of multiple attributes and decision-maker preference is inevitable. As...
-
Robust portfolio selection problems: a comprehensive review
This paper reviews recent advances in robust portfolio selection problems and their extensions, from both operational research and financial...
-
A hybrid approach based on multi-criteria decision making and data-driven optimization in solving portfolio selection problem
In this paper, a two-phase approach based on multi-criteria decision making and multi-objective optimization models is proposed to select portfolio...
-
Encompassing statistically unquantifiable randomness in goal programming: an application to portfolio selection
Random events make multiobjective programming solutions vulnerable to changes in input data. In many cases statistically quantifiable information on...
