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A Bi-Objective Portfolio Optimization with Conditional Value-at-Risk
Company: Decision Making in Manufacturing and Services
Company Url: Click here to open
Year Of Publication: 2010
Month Of Publication: March
Pages: 47-69
Download Count: 22
View Count: 1824
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 4-23-2011
Publisher: Administrator
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.
(volume 4, numbers 1-2)
Sawik, Bartosz Sign in to follow this author
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