A Bi-Objective Portfolio Optimization with Conditional Value-at-Risk

DOI10.7494/dmms.2010.4.2.47zbMath1245.91106OpenAlexW1489044478WikidataQ129534431 ScholiaQ129534431MaRDI QIDQ2902361

Bartosz Sawik

Publication date: 19 August 2012

Published in: Decision Making in Manufacturing and Services (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.7494/dmms.2010.4.2.47

zbMATH Keywords

linear programmingportfolio optimizationmulti-criteria decision makingconditional value-at-riskweighting approach

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Multi-objective and goal programming (90C29) Linear programming (90C05) Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items (1)

Downside Risk Approach for Multi-Objective Portfolio Optimization

Uses Software

• LINGO

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