The Mean-CVaR Model for Portfolio Optimization Using a Multi-Objective Approach and the Kalai-Smorodinsky Solution

Rajae Aboulaich 1 Rachid Ellaia 1 Samira El Moumen 1 Abderahmane Habbal 2 Noureddine Moussaid 1
1 LERMA - Laboratoire d'Etudes et Recherche en Mathématiques Appliquées
2 Acumes - Analysis and Control of Unsteady Models for Engineering Sciences
CRISAM - Inria Sophia Antipolis - Méditerranée
Abstract : The purpose of this work is to present a model for portfolio multi-optimization, in which distributions are compared on the basis of tow statistics: the expected value and the Conditional Value-at-Risk (CVaR), to solve such a problem many authors have developed several algorithms, in this work we propose to find the efficient boundary by using the Normal Boundary Intersection approach (NBI) based on our proposed hybrid method SASP, since the considered problem is multi-objective, then we find the Kalai-smorodinsky solution.
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MATEC Web of Conferences, EDP sciences, 2017, 105, pp.4. 〈10.1051/matecconf/201710500010 〉
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Rajae Aboulaich, Rachid Ellaia, Samira El Moumen, Abderahmane Habbal, Noureddine Moussaid. The Mean-CVaR Model for Portfolio Optimization Using a Multi-Objective Approach and the Kalai-Smorodinsky Solution. MATEC Web of Conferences, EDP sciences, 2017, 105, pp.4. 〈10.1051/matecconf/201710500010 〉. 〈hal-01575730〉

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