The portfolio optimization (PO) model with semi-mean absolute deviation (SMAD) risk
measure has been commonly applied to construct optimal portfolios due to the ease of …

The Omega ratio, a performance measure that separately considers upside and downside
deviations from a fixed threshold, improves the Sharpe ratio by incorporating the higher …

Comparing portfolio performance is complex due to the fact that each model is dominant in
its own risk space. Since there is no single dominant performance measure, the research …

During the past few years, there have been some turbulent events in the global economy
that have significantly impacted the performance of financial markets. Therefore, there is an …

Portfolio Management is the process of overseeing a group of investments, referred to as a
portfolio, with the objective of achieving predetermined investment goals and objectives …

Asset–liability management (ALM) is a challenging task faced by pension funds due to the
uncertain nature of future asset returns, employees' wages, and interest rates. To address …

The composition of an investment portfolio aiming to increase the financial returns while
reducing the exposure to risk is a topic of growing interest in the world. In this direction, we …

The robust and sparse portfolio selection problem is one of the most-popular and-frequently
studied problems in the optimization and financial literature. By considering the uncertainty …

In this paper we will propose a Robust Ordered Weighted Averaging (ROWA) optimization
model to find a portfolio according to different attitudes towards risk of a decision maker. 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 …