EFFECTS OF MULTIPLE CRITERIA ON PORTFOLIO OPTIMIZATION

Date

2014-01-01

Author

Ceren, Tuncer Sakar
Köksalan, Mustafa Murat

Metadata

Show full item record

This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

Item Usage Stats

155
views

0
downloads

We study the effects of considering different criteria simultaneously on portfolio optimization. Using a single-period optimization setting, we use various combinations of expected return, variance, liquidity and Conditional Value at Risk criteria. With stocks from Borsa Istanbul, we make computational studies to show the effects of these criteria on objective and decision spaces. We also consider cardinality and weight constraints and study their effects on the results. In general, we observe that considering alternative criteria results in enlarged regions in the effi-cient frontier that may be of interest to the decision maker. We discuss the results of our experiments and provide insights.

Subject Keywords

Computer Science (miscellaneous)

URI

https://hdl.handle.net/11511/51025

Journal

INTERNATIONAL JOURNAL OF INFORMATION TECHNOLOGY & DECISION MAKING

DOI

https://doi.org/10.1142/s0219622014500047

Collections

Department of Industrial Engineering, Article

Suggestions

OpenMETU
Core

The nature of integration among PCK components: A case study of two experienced chemistry teachers Aydın, Sevgi; Boz, Yezdan (Royal Society of Chemistry (RSC), 2013-01-01) In this qualitative case study, we examined the nature of integration among pedagogical content knowledge (PCK) components. To attain the goal, two experienced chemistry teachers' teaching redox reactions and electrochemical cells was observed. The data were collected through card-sorting activity, content representation (CoRe) tool, observation, and interviews. The data analysis included three steps, namely; in-depth analysis, enumerative approach, and constant-comparative methods. Results reveal that know...
PERFORMANCE COMPARISON OF VARIOUS HEXAHEDRAL ELEMENT QUALITY METRICS VIA PARAMETRIC DISTORTION OF AN IDEAL ELEMENT Yalcin, Engin; YILMAZ, ASIM EGEMEN; Kuzuoğlu, Mustafa (World Scientific Pub Co Pte Lt, 2013-08-01) In this study, by means of parametric distortion of an ideal hexahedral element, we investigate the accuracy and sensitivity of some hexahedral element quality metrics existing in the literature. We also investigate and compare the relative computational costs of each metrics. We try to identify the weaknesses and strengths of all metrics under interrogation, and come up with some proposals for practical use.
Cognitive caching for the future sensors in fog networking Al-Turjman, Fadi (Elsevier BV, 2017-12-01) In this paper, we propose a Cognitive Caching approach for the Future Fog (CCFF) that takes into consideration the value of the exchanged data in Information Centric Sensor Networks (ICSNs). Our approach depends on four functional parameters in ICSNs. These four main parameters are: age of the data, popularity of on-demand requests, delay to receive the requested information and data fidelity. These parameters are considered together to assign a value to the cached data while retaining the most valuable one...
Effects of sensitivity derivatives on aerodynamic design optimization Eyi, Sinan (Informa UK Limited, 2007-10-01) The effects of sensitivity derivatives on the performance of aerodynamic design optimization were evaluated. Sensitivity derivatives were obtained by both analytical and finite-difference approaches. A sensitivity code was developed to analytically obtain sensitivity derivatives for the two-dimensional Euler equations using the material derivative concept of continuum mechanics. Several inverse design optimizations were performed to evaluate the merits of the analytical approach in comparison with the finit...
ASSESSMENT OF RPIM SHAPE PARAMETERS FOR SOLUTION ACCURACY OF 2D GEOMETRICALLY NONLINEAR PROBLEMS BOZKURT, ÖMER YAVUZ; KANBER, BAHATTİN; Aşık, Mehmet Zülfü (World Scientific Pub Co Pte Lt, 2013-06-01) This study discussed the effects of shape parameters on the radial point interpolation method (RPIM) accuracy in 2D geometrically nonlinear problems. Four finite deformation problems with compressible Neo-Hookean material are numerically solved with the RPIM algorithm using the multi-quadric (MQ) radial basis function. Both regular and irregular node distributions are used. Their displacements and Cauchy stresses are compared for different values of shape parameters and monomial basis. It is found that the ...

Citation Formats

T. S. Ceren and M. M. Köksalan, “EFFECTS OF MULTIPLE CRITERIA ON PORTFOLIO OPTIMIZATION,” INTERNATIONAL JOURNAL OF INFORMATION TECHNOLOGY & DECISION MAKING, pp. 77–99, 2014, Accessed: 00, 2020. [Online]. Available: https://hdl.handle.net/11511/51025.