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Mean-Variance-CvaR Model of Multiportfolio Optimization via Linear Weighted Sum Method
Joint Authors
Abd Aziz, Mohd Ismail
Elahi, Younes
Source
Mathematical Problems in Engineering
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-7, 7 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-03-30
Country of Publication
Egypt
No. of Pages
7
Main Subjects
Abstract EN
We propose a new approach to optimizing portfolios to mean-variance-CVaR (MVC) model.
Although of several researches have studied the optimal MVC model of portfolio, the linear weighted sum method (LWSM) was not implemented in the area.
The aim of this paper is to investigate the optimal portfolio model based on MVC via LWSM.
With this method, the solution of the MVC model of portfolio as the multiobjective problem is presented.
In data analysis section, this approach in investing on two assets is investigated.
An MVC model of the multiportfolio was implemented in MATLAB and tested on the presented problem.
It is shown that, by using three objective functions, it helps the investors to manage their portfolio better and thereby minimize the risk and maximize the return of the portfolio.
The main goal of this study is to modify the current models and simplify it by using LWSM to obtain better results.
American Psychological Association (APA)
Elahi, Younes& Abd Aziz, Mohd Ismail. 2014. Mean-Variance-CvaR Model of Multiportfolio Optimization via Linear Weighted Sum Method. Mathematical Problems in Engineering،Vol. 2014, no. 2014, pp.1-7.
https://search.emarefa.net/detail/BIM-446648
Modern Language Association (MLA)
Elahi, Younes& Abd Aziz, Mohd Ismail. Mean-Variance-CvaR Model of Multiportfolio Optimization via Linear Weighted Sum Method. Mathematical Problems in Engineering No. 2014 (2014), pp.1-7.
https://search.emarefa.net/detail/BIM-446648
American Medical Association (AMA)
Elahi, Younes& Abd Aziz, Mohd Ismail. Mean-Variance-CvaR Model of Multiportfolio Optimization via Linear Weighted Sum Method. Mathematical Problems in Engineering. 2014. Vol. 2014, no. 2014, pp.1-7.
https://search.emarefa.net/detail/BIM-446648
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-446648