This study designs a methodological framework to forecasting allocation weights and
evaluating multiobjective portfolios considering the investment horizon heterogeneity. The …

In the last years, researchers and practitioners have focused on defining portfolio
optimization approaches. This task aims to identify a suitable distribution of assets for …

The multi-objective integer programming problem often occurs in multi-criteria decision-
making situations, where the decision variables are integers. In the present paper, we have …

Risks arise when decisions are made in a state of indeterminacy (eg, randomness, fuzziness
and uncertainty). Confronted with risks, different decision-makers have different attitudes …

Mean-semivariance and minimum semivariance portfolios are a preferable alternative to
mean-variance and minimum variance portfolios whenever the asset returns are not …

Portfolio inflexibility is one of the most explored topics in FIES (financial investment expert
system). Conventional ways to resolving the non-linear limited portfolio optimization issue …

This research paper examines the advantages of developing goal-oriented asset allocation
platforms for retail investors who lack the time or expertise to allocate their assets. The study …

We study a family of optimal control problems under a set of controlled-loss constraints
holding at different deterministic dates. The characterization of the associated value function …

Анотація Робота присвячена статистичному аналізу вибіркової оцінки відношення
Шарпа портфеля фінансових активів з максимальним відношенням Шарпа. Знайдено …