This study developed specific criteria and a fuzzy analytic network process (FANP) to assess
and select portfolios on the Tehran Stock Exchange (TSE). Although the portfolio selection …

An accurate variable description of security returns is necessary to establish a valid portfolio
optimization model. It is usually assumed to be a random variable when the historical data of …

Recently, Symbiotic Organisms Search (SOS) algorithm is being used for solving complex
problems of optimization. This paper proposes an Improved Symbiotic Organisms Search (I …

This paper deals with a multi-period portfolio selection problem considering investor's risk
attitude in fuzzy environment. We regard the return rate of each risky asset as a fuzzy …

In this paper, we consider a multi-period fuzzy portfolio optimization model with considering
transaction costs and the possibility of risk-free investment. We formulate a bi-objective …

This study focuses on proposing a Nash bargaining model to solve a novel multi-period
competitive portfolio optimization problem for large investors in the stock market who want to …

Sufficient description of stock returns is essential to generate an efficient model of portfolio
optimization. Security returns are considered to be random variables where there exist …

This study presents an improvement to the mean-variance portfolio optimization model, by
considering both the integer transaction lots and a robust estimator of the covariance …

This study contributes to passive portfolio management by comparing four ways to allocate
assets. Indexing, mean-variance optimization, equal-weighting, and semi-variance …

In this work we studied portfolio selection using linear programming. Absolute Standard
deviation is used to measure the portfolio risk and by this we have discussed how each …