Loading...
Search for:
portfolio-selection
0.006 seconds
A technical note on "A fuzzy set approach for R&D portfolio selection using a real options valuation model" by Wang and Hwang (2007)
, Article Omega ; Volume 39, Issue 4 , 2011 , Pages 464-465 ; 03050483 (ISSN) ; Collan, M ; Modarres, M ; Sharif University of Technology
2011
Abstract
In this paper, three critical issues with the paper "A fuzzy set approach for R&D portfolio selection using a real options valuation model", coauthored by Wang and Hwang and published in Omega 2007 are addressed. Shortcomings of the original work are highlighted and corrective measures to improve the approach are proposed
An Online Portfolio Selection Algorithm Using Pattern-matching Principle
, M.Sc. Thesis Sharif University of Technology ; Khedmati, Majid (Supervisor)
Abstract
According to the rise of turnover and pace of trading, accelerating of analysis and making decision is unavoidable. Humans are unable to analyze big data quickly without behavioral biases so, using machines to analyze big data seems critical. Hence, financial markets tend to apply algorithmic trading in which some techniques like data mining and machine learning are notable. OLPS which sequentially allocates capital among a set of assets aiming to maximize the final return of investment in the long run, is the core problem in algorithmic trading. This article presents an online portfolio selection algorithm. The online portfolio selection sequentially selects a portfolio over a set of assets...
Continuous-time Mean-Variance Portfolio Selection with Partial Information
, M.Sc. Thesis Sharif University of Technology ; Moghadasi, Reza (Supervisor) ; Zamani, Shiva (Co-Advisor)
Abstract
In this thesis, we study a continuous time financial market of some risky assets and a risk-free asset for investment in a finite time period. We use mean-variance approach for investment in this market. In the model considered here, the mean returns of individual assets are explicitly affected by underlying Gaussian economic factors. Using past and present information of the asset prices, a partial-information stochastic optimal control problem with random coefficients is formulated. Here, the partial information is due to the fact that the economic factors can not be directly observed. In first step, by filtering and in secound step by solving the stochastic control problem, we show that...
The Application of Robust Optimization in Multi-Period Portfolio Selection
, M.Sc. Thesis Sharif University of Technology ; Modarres Yazdi, Mohammad (Supervisor)
Abstract
In the thesis, a multi-period portfolio selection problem is presented in which transaction costs and diversity constraints are considered. The objective is to maximize the value of this portfolio at the end of the time horizon. Furthermore, data uncertainty, which is inherent in stock returns, is considered as well. To model data uncertainty, we apply robust optimization technique. At first, a robust counterpart model is proposed by assuming that uncertain parameters are independent. Then, we assume uncertain data are correlated. Both interval and budgeted uncertainty technique are applied in robust counterpart modeling. In the next step, we assume lending and borrowing risk-free interest...
Information theoretic cutting of a cake
, Article 2012 IEEE Information Theory Workshop, ITW 2012 ; 2012 , Pages 517-521 ; 9781467302234 (ISBN) ; Gohari, A. A ; Sharif University of Technology
Abstract
Cutting a cake is a metaphor for the problem of dividing a resource (cake) among several agents. The problem becomes non-trivial when the agents have different valuations for different parts of the cake (i.e. one agent may like chocolate while the other may like cream). A fair division of the cake is one that takes into account the individual valuations of agents and partitions the cake based on some fairness criterion. Fair division may be accomplished in a distributed or centralized way. Due to its natural and practical appeal, it has been a subject of study in economics under the topic of 'Fair Division'. To best of our knowledge the role of partial information in fair division has not...
A practical approach to R&D portfolio selection using the fuzzy pay-off method
, Article IEEE Transactions on Fuzzy Systems ; Volume 20, Issue 4 , 2012 , Pages 615-622 ; 10636706 (ISSN) ; Collan, M ; Modarres, M ; Sharif University of Technology
IEEE
2012
Abstract
The objective of this research is to develop a practical research and development (R&D) portfolio selection model that addresses the effective R&D project valuation issue, while tackling R&D uncertainty in portfolio optimization. Fuzzy set theory is employed to capture and model the uncertain project information. To evade the well-known complexities of fuzzy real option valuation, the recently developed fuzzy pay-off method is used to more effectively valuate R&D projects. The resulting problem is formulated as a fuzzy zero-one integer programming model that handles uncertainty of input data in order to determine the optimal portfolio. Two satisfaction measures, which are based on...
A practical R&D selection model using fuzzy pay-off method
, Article International Journal of Advanced Manufacturing Technology ; Volume 58, Issue 1-4 , June , 2012 , Pages 227-236 ; 02683768 (ISSN) ; Collan, M ; Modarres, M ; Sharif University of Technology
2012
Abstract
The aim of this paper is to develop a practical R&D portfolio selection model that addresses effective R&D project valuation issue, while it tackles R&D uncertainty in portfolio optimization. Fuzzy sets theory is employed to capture and model the inaccuracy in project information. To avoid the well-known complications of fuzzy real option valuation, the fuzzy pay-off method is used to more effectively value R&D projects. The resulting problem is formulated as a fuzzy zero-one integer programming model which is later transformed into a crisp mathematical formulation to solve the problem for various degrees of risk. A numerical example is used to illustrate the proposed approach
Research and Development Project Portfolio Selection
, Ph.D. Dissertation Sharif University of Technology ; Modarres Yazdi, Mohammad (Supervisor)
Abstract
Today, Research and Development (R&D) plays an underlying role in all technology-based companies. It is the R&D that creates competitive advantage and determines survival or growth of a company in the fierce market place. R&D, On the other hand, consumes invaluable resources such as capital, human resource, and laboratories which are generally very scarce. This implies that R&D decisions must be treated as huge investment decisions which are made within the strategic framework of a business. The purpose of R&D portfolio selection is to select a set of projects from a pool of candidate projects in order to maximize some financial measures subject to resource availability and technical...
Alignment of Project Portfolio Management with Corporate Strategy in Project Based Organizations
, M.Sc. Thesis Sharif University of Technology ; Sepehri, Mehran (Supervisor)
Abstract
Nowadays, the selection and updating the projects portfolio in project-based organizations is mentioned as one of the most challenging issues. Project based organizations used to try to shape their portfolios according to their strategic direction. Portfolio management is especially attended for project based organizations in IT industry in which there is a lot of project proposals with different objectives and scales. On one hand, the best approach for corporate strategy implementation in these kinds of organizations is based on project and portfolio management and on the other hand, the portfolio management in these organizations will affect the strategic direction. In the Persian...
An Online Portfolio Selection Algorithm Using Recurrent Neural Networks and Controlling the Risk of Tradings with Value at Risk Method
, M.Sc. Thesis Sharif University of Technology ; Khedmati, Majid (Supervisor)
Abstract
Nowadays, capital markets play a key role in the economies of countries. Hence, this market is expanding more and more every day. In such circumstances, traditional analysis methods such as fundamental analysis and technical analysis have lost their position due to low speed and accuracy. In recent years, automated trading systems have been proposed as a solution to these problems. The online portfolio selection, which sequentially allocates capital among a set of assets aiming to maximize the final return of investment in the long run, is the core problem in algorithmic trading. In this research, we present an online portfolio selection algorithm based on pattern matching principle....
Portfolio Selection Considering Market Regime
, M.Sc. Thesis Sharif University of Technology ; Khedmati, Majid (Supervisor)
Abstract
Since investing in the stock market is always known as one of the ways to increase capital, many researches have been done in the field of portfolio selection in order to provide methods to earn more profit and control investment risk. One of the influential factors in increasing the profit from the portfolio is the proper prediction of future of shares. Therefore, in many research, various methods and tools have been used to predict the future of shares more accurately. One of these tools is forecasting the market regime. In this research, harmonic patterns have been used to predict the market regime. Also, based on the harmonic patterns, the scope of entry into the transaction, the...
Fuzzy turnover rate chance constraints portfolio model
, Article European Journal of Operational Research ; Volume 228, Issue 1 , 2013 , Pages 141-147 ; 03772217 (ISSN) ; Abessi, M ; Modarres, M ; Sharif University of Technology
2013
Abstract
One concern of many investors is to own the assets which can be liquidated easily. Thus, in this paper, we incorporate portfolio liquidity in our proposed model. Liquidity is measured by an index called turnover rate. Since the return of an asset is uncertain, we present it as a trapezoidal fuzzy number and its turnover rate is measured by fuzzy credibility theory. The desired portfolio turnover rate is controlled through a fuzzy chance constraint. Furthermore, to manage the portfolios with asymmetric investment return, other than mean and variance, we also utilize the third central moment, the skewness of portfolio return. In fact, we propose a fuzzy portfolio mean-variance-skewness model...
Genetic algorithms for fuzzy multi-objective approach to portfolio selection
, Article Annual Conference of the North American Fuzzy Information Processing Society - NAFIPS, 12 July 2010 through 14 July 2010 ; July , 2010 ; 9781424478576 (ISBN) ; Nikkholgh, R ; Gharahkozli, H ; Sharif University of Technology
2010
Abstract
This research deals with a model with better efficiency for selection of portfolio making use of cardinal constraints, which are explained in previous sections. Such a method, which is a combination of fuzzy models and MCDM considering the constraints intended by investors, has not been used in previous models. We have considered transactions cost, because they are among factors important for an investor, and their being ignored in a portfolio selection method will result in inefficient portfolio. Sector value constraint is among other constraints considered here. Such a constraint aims to raise investment rate in sectors with higher values. Cardinal constraints (number of shares existing in...
An online portfolio selection algorithm using clustering approaches and considering transaction costs
, Article Expert Systems with Applications ; Volume 159 , November , 2020 ; Azin, P ; Sharif University of Technology
Elsevier Ltd
2020
Abstract
This paper presents an online portfolio selection algorithm based on pattern matching principle where it makes a decision on the optimal portfolio in each period and updates the optimal portfolio at the beginning of each period. The proposed method consists of two steps: i) sample selection, ii) portfolio optimization. First, in the sample selection, clustering algorithms including k-means, k-medoids, spectral and hierarchical clustering are applied to discover time windows (TW) similar to the recent time window. Then, after finding the similar time windows and predicting the market behavior of the next day, the optimum function along with the transaction cost is used in the portfolio...
Portfolio Management as an Application Model in ERP
, M.Sc. Thesis Sharif University of Technology ; Shadrokh, Shahram (Supervisor) ; Tavakoli Bina, Alireza (Co-Advisor)
Abstract
Portfolio selection is a major problem in organizations and plays an important role in meeting the strategic objectives of organizations. For this aim, the management of the organization has to take into account many constraints in selection of projects in order to make an acceptable decision. Investment Budget is one of these constraints. On the other hand, in many cases the management of organizations must consider many decision criteria. These criteria always have conflict among each other and the decision maker try to tradeoff among them. This decision making requires exact and sufficient information for the decision maker to make a correct decision. The need for sufficient information...
Presentation of a Model and Solving the Problem of Project Portfolio Selection Based on Project Scheduling using Two-Level NSGAII
, M.Sc. Thesis Sharif University of Technology ; Shadrokh, Shahram (Supervisor)
Abstract
This project aims to study a situation in which several projects must be selected. The decision makers should select a subset of these projects taking into account the limitation of resources and scheduling. Project selection models generally do not consider schedule of project activities as part of selection process. On the other hand, except the cases where only one project is under process in each period, prioritizing the selected projects is not optimal not considering their scheduling. Projects scheduling in project activities level may increase the complexity of decision making for portfolio selection and expand the area of search for selection of projects portfolio. Therefore, all the...