Increasing the Efficiency of the Investments to Be Made in a Portfolio of IT Projects: A Data Envelopment Analysis Approach

We develop and implement a Linear Programming test to analyze whether a given investment portfolio is efficient in terms of second-order stochastic dominance relative to all possible portfolios formed from a set of base assets. In case of efficiency, ...

In this paper, I present a decision-making process that incorporates a Genetic Algorithm (GA) into a state dependent dynamic portfolio optimization system. A GA is a probabilistic search approach and thus can serve as a stochastic problem solving ...

We present a model of optimal allocation to liquid and illiquid assets, where illiquidity risk results from the restriction that an asset cannot be traded for intervals of uncertain duration. Illiquidity risk leads to increased and state-dependent risk ...