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http://yadda.icm.edu.pl:80/baztech/element/bwmeta1.element.baztech-article-AGH8-0009-0016

Czasopismo

Decision Making in Manufacturing and Services

Tytuł artykułu

A bi-objective portfolio optimization with conditional value-at-risk

Autorzy Sawik, B. 
Treść / Zawartość
Warianty tytułu
Języki publikacji EN
Abstrakty
EN This paper presents a bi-objective portfolio model with the expected return as a performance measure and the expected worst-case return as a risk measure. The problems are formulated as a bi-objective linear program. Numerical examples based on 1000, 3500 and 4020 historical daily input data from the Warsaw Stock Exchange are presented and selected computational results are provided. The computational experiments prove that the proposed linear programming approach provides the decision maker with a simple tool for evaluating the relationship between the expected and the worst-case portfolio return.
Słowa kluczowe
EN multi-criteria decision making   portfolio optimization   conditional value-at-risk   weighting approach   linear programming  
Wydawca AGH University of Science and Technology Press
Czasopismo Decision Making in Manufacturing and Services
Rocznik 2010
Tom Vol. 4, no. 1-2
Strony 47--69
Opis fizyczny Bibliogr. [66] poz., wykr., tab.
Twórcy
autor Sawik, B.
  • Department of Applied Computer Science, Faculty of Management, AGH University of Science and Technology, Kraków, Poland, b_sawik@yahoo.com
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