Project title: Portfolio selection models and applications
Institution that gave financial support: Romanian National Authority for Scientific Research CNCS-UEFSCDI
Subprogram: "Exploratory research projects"
Project Code: PN-II-ID-PCE-2011-3-0908
Contract IDPCE: nr. 79/05.10.2011
Project director: Marius Radulescu
Team click here
Period: 2011-2016

Project Summary

The present project aims to bring some theoretical and practical contributions to the portfolio theory. One of the main objectives of the project is to find new applications of portfolio theory in domains connected with sustainable development. More precisely, crop planning models that take into account weather risks, market risks and environmental risks will be developed. The models are based on loss function theory and portfolio theory. Several environmental levels for the application of fertilizers/pesticides, and the monetary penalties for overcoming these levels, will be considered. The models mentioned above are very complex since they are taking into account several factors and uncertainties. Several numerical results for the formulated models will be analyzed. Several problems connected with the efficient frontier associated to a portfolio selection model will be investigated. Will be defined a general framework for portfolio selection models and several properties of them will be studied. New portfolio selection models that take into account an initial holding of the investor and transaction costs will be studied. These models are very difficult to be solved since they have complementarity constraints. Several new numerical methods and heuristics that solve these models will be investigated.