Document Search
Add To My Bookshelf Sign in or Register Save And Annotate
Keywords:

portfolio optimization sign in to follow this
CVaR sign in to follow this
linear programming sign in to follow this
Poland sign in to follow this
equities sign in to follow this
Categories:

VaR Uses sign in to follow this
--Portfolio Optimization sign in to follow this
Half-Life:
Impact:
Discuss This Paper
Sign in to follow this page
Recent Comments
  more
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: 1647
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 4-23-2011
Publisher: Administrator
Summary
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)
Author(s)
Sawik, Bartosz Sign in to follow this author
This document's citation network:
Similar Documents:
Close window
Sign up in one step, no personal information required. Already a Member?



Email:
Repeat Email:
User Name:
Password:
Confirm Password:

Sign Up


Welcome to GloriaMundi!
Thanks for singning up



continue or edit your profile