Markowitz formulated the portfolio optimization problem through two criteria: the expected
return and the risk, as a measure of the variability of the return. The classical Markowitz …

Portfolio theory was first developed by Harry Markowitz in the 1950s. His work, which was
extended by several researchers, provides the foundation of the so-called modern portfolio …

Dimension reduction methods are useful pre-processing tools for efficient quantitative
analysis with the aim to preserve the main features of the multidimensional data. However …

In this paper, we study mean–variance–Conditional Value-at-Risk (CVaR) portfolio
optimization problem with short selling, cardinality constraint and transaction costs. To tackle …

Portfolio optimisation is essential in quantitative investing, but its implementation faces
several practical difficulties. One particular challenge is converting optimal portfolio weights …

Transaction costs represent one of the most relevant real features that must be taken into
account while optimizing a portfolio. All market participants are concerned with transaction …

In this paper, we study mean-conditional value at risk (mean-CVaR) portfolio optimisation
with cardinality constraints and short selling under uncertainty. To reduce the level of …

Abstract Nowadays, Quadratic Programming (QP) models, like Markowitz model, are not
hard to solve, thanks to technological and algorithmic progress. Nevertheless, Linear …

Real features are all the additional characteristics an investor is interested to consider when
selecting a real portfolio, because they reflect preferences or information not captured by the …

We describe Employees Provident Funds (EPF) Malaysia. We explain about Defined
Contribution and Defined Benefit Pension Funds and examine their similarities and …