Markowitz's portfolio selection model has been the biggest step-forward in financial decision
making and has been the central point of research since its inception. The mean–variance …

That the returns on financial assets and insurance claims are not well described by the
multivariate normal distribution is generally acknowledged in the literature. This paper …

Social responsibility investment (SRI) has attracted worldwide attention for its potential in
promoting investment sustainability and stability. We developed a three-step framework by …

We propose a method for optimal portfolio selection using a Bayesian decision theoretic
framework that addresses two major shortcomings of the traditional Markowitz approach: the …

Skewness and kurtosis, the third and fourth order moments, are statistics to summarize the
shape of a distribution function. Recent studies show that investors would take these higher …

Numerous theoretical predictions such as precautionary saving or preventive behavior have
been derived for prudent decision makers. Further, prudence can be characterized as …

The classical newsvendor problem seeks to minimize the expected inventory cost or
maximize the expected profit. But optimizing an expected value alone does not fully capture …

In this paper, a multi-objective portfolio optimization problem is studied in an uncertain
random environment using higher moments. We consider a scenario involving an asset …

In portfolio selection problem, the expected return, risk, liquidity etc. cannot be predicted
precisely. The investor generally makes his portfolio decision according to his experience …

We analyze the performance persistence of Islamic and Socially Responsible Investment
(SRI) mutual funds. We adopt a multi-stage strategy in which, in the first stage, partial …