Conditional value-at-risk and value-at-risk for portfolio optimization model with weighting approach

• Autorzy: Sawik B.

Warianty tytułu

PL

Miary ryzyka CVaR oraz VaR w modelu optymalizacji portfelowej z ważoną funkcją celu

• Języki publikacji: EN

Abstrakty

EN

This paper presents a multi-objective portfolio models with the expected return as a performance measure and the expected worst-case return as a risk measure. The problem objective is to allocate the wealth on different securities to optimize the portfolio expected return. This portfolio approach has allowed the two popular in financial engineering percentile measures of risk, value-at-risk (VaR) and conditional value-at-risk (CVaR) to be applied. Numerical examples based on historical daily input data from the Warsaw Stock Exchange are presented and selected computational results are provided.

PL

W artykule przedstawiono model wielokryterialnej optymalizacji portfelowej z ważoną funkcją celu. Celem optymalizacji jest wyznaczenie portfela o maksymalnej oczekiwanej stopie zwrotu przy ryzyku wyznaczonym za pomocą miar CVaR oraz VaR. Przedstawiono wyniki eksperymentów obliczeniowych z użyciem danych z GPW w Warszawie.

Słowa kluczowe

EN

multi-criteria decision making; portfolio optimization; conditional value-at-risk; mathematical programming

PL

optymalizacja wielokryterialna; metody portfelowe; programowanie matematyczne

• Wydawca: Wydawnictwa AGH
• Czasopismo: Automatyka / Akademia Górniczo-Hutnicza im. Stanisława Staszica w Krakowie
• Rocznik: 2011
• Tom: T. 15, z. 2
• Strony: 429--434
• Opis fizyczny: Bibliogr. 15 poz., rys., wykr.

Twórcy

autor

Sawik B.

• AGH University of Science and Technology, Faculty of Management, Department of Applied Computer Science

Bibliografia

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• [9] Sawik B., A Bi-Objective Portfolio Optimization with Conditional Value-at-Risk. Decision Ma- king in Manufacturing and Sendces, vol. 4(1-2), 2010, 47-69
• [10] Sawik B., Selected Multi-Objective Methods for Multi-Period Portfolio Optimization by Mixed Integer Programming. [w:] Lawrence K.D., Kleinman G. (Eds.), Applications of Management Science, vol. 14, Applications in Multi-Criteria Decision Making, Data Envelopment Analysis and Finance, Emerald Group Publishing Limited, UK, USA, 2010, 3-34.
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• [13] Sawik B., A Three Stage Lexicographic Approach for Multi-Criteria Portfolio Optimization by Mixed Integer Programming. Przegląd Elektrotechniczny, vol. 84(9), 2008, 108-112.
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