Mean-variance model for portfolio optimization with background risk based on uncertainty theory

2017 ◽  
Vol 47 (3) ◽  
pp. 294-312 ◽  
Author(s):  
Jia Zhai ◽  
Manying Bai
Keyword(s):  
Portfolio Optimization ◽  
Uncertainty Theory ◽  
Background Risk ◽  
Variance Model ◽  
Mean Variance

Portfolio optimization with transaction costs: a two-period mean-variance model

2014 ◽  
Vol 233 (1) ◽  
pp. 135-156 ◽  
Author(s):  
Ying Hui Fu ◽  
Kien Ming Ng ◽  
Boray Huang ◽  
Huei Chuen Huang
Keyword(s):  
Transaction Costs ◽  
Portfolio Optimization ◽  
Variance Model ◽  
Mean Variance

scholarly journals Extended mean–variance model for reliable evolutionary portfolio optimization

2014 ◽  
Vol 27 (3) ◽  
pp. 315-324 ◽  
Author(s):  
Sandra García ◽  
David Quintana ◽  
Inés M. Galván ◽  
Pedro Isasi
Keyword(s):  
Portfolio Optimization ◽  
Variance Model ◽  
Mean Variance

scholarly journals A Firefly Algorithm for Portfolio Optimization

2019 ◽  
Vol 25 (3) ◽  
pp. 282-291
Author(s):  
Indana Lazulfa
Keyword(s):  
Financial Markets ◽  
Portfolio Optimization ◽  
Firefly Algorithm ◽  
Optimization Problems ◽  
Risk Measures ◽  
Variance Model ◽  
Multi Objective ◽  
Risk Return ◽  
Portfolio Optimization Model ◽  
Mean Variance

Portfolio optimization is the process of allocating capital among a universe of assets to achieve better risk – return trade-off. Portfolio optimization is a solution for investors to get the return as large as possible and make the risk as small as possible. Due to the dynamic nature of financial markets, the portfolio needs to be rebalanced to retain the desired risk-return characteristics. This study proposed multi objective portfolio optimization model with risk, return as the objective function. For multi objective portfolio optimization problems will be used mean-variance model as risk measures. All these portfolio optimization problems will be solved by Firefly Algorithm (FA).

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