A Bi-Objective Portfolio Optimization with Conditional Value-at-Risk
作者： Bartosz Sawik
关键词: Expected shortfall 、 Mathematical optimization 、 Linear programming 、 Portfolio optimization 、 Rate of return on a portfolio 、 Economics 、 Actuarial science 、 Risk measure 、 Modern portfolio theory 、 Expected return 、 Portfolio
摘要: This paper presents a bi-objective portfolio model with the expected return as performance measure and worst-case risk measure. The problems are formulated linear program. Numerical examples based on 1000, 3500 4020 historical daily input data from Warsaw Stock Exchange presented selected computational results provided. experiments prove that proposed programming approach provides decision maker simple tool for evaluating relationship between return.
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