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The Mean-CVaR Model for Portfolio Optimization Using a Multi-Objective Approach and the Kalai-Smorodinsky Solution
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.
Cited literature [21 references]
https://hal.inria.fr/hal-01575730
Contributor : Abderrahmane Habbal <>
Submitted on : Monday, August 21, 2017 - 3:38:41 PM
Last modification on : Thursday, May 20, 2021 - 9:12:01 AM
Contributor : Abderrahmane Habbal <>
Submitted on : Monday, August 21, 2017 - 3:38:41 PM
Last modification on : Thursday, May 20, 2021 - 9:12:01 AM
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matecconf_iwtsce2017_00010.pdf
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