Mean-variance-CVaR model of multiportfolio optimization via linear weighted sum method

DOI10.1155/2014/104064zbMath1407.91220OpenAlexW2133078426WikidataQ59062846 ScholiaQ59062846MaRDI QIDQ1717666

Mohd Ismail Abd Aziz, Younes Elahi

Publication date: 8 February 2019

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2014/104064

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items (1)

On the application of an augmented Lagrangian algorithm to some portfolio problems

Uses Software

• Matlab

Cites Work

• Some characterizations of the optimal solutions of a vector optimization problem
• Portfolio construction based on stochastic dominance and target return distributions
• Multiobjective Optimization via Parametric Optimization: Models, Algorithms, and Applications
• A Reference Point Approach to Bi-Objective Dynamic Portfolio Optimization
• Mean-risk models using two risk measures: a multi-objective approach

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