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

• Autorzy: Sawik B.
• 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

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