Mean-Variance-CvaR Model of Multiportfolio Optimization via Linear Weighted Sum Method
We propose a new approach to optimizing portfolios to mean-variance-CVaR (MVC) model. Although of several researches have studied the optimal MVC model of portfolio, the linear weighted sum method (LWSM) was not implemented in the area. The aim of this paper is to investigate the optimal portfolio m...
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Series: | Mathematical Problems in Engineering |
Online Access: | http://dx.doi.org/10.1155/2014/104064 |
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doaj-0850cd7b12ee4db2991d0387656911bf2020-11-24T22:01:07ZengHindawi LimitedMathematical Problems in Engineering1024-123X1563-51472014-01-01201410.1155/2014/104064104064Mean-Variance-CvaR Model of Multiportfolio Optimization via Linear Weighted Sum MethodYounes Elahi0Mohd Ismail Abd Aziz1Faculty of Science, Department of Mathematics, Universiti Teknologi Malaysia, 81310 Johor Bahru, Johor, MalaysiaFaculty of Science, Department of Mathematics, Universiti Teknologi Malaysia, 81310 Johor Bahru, Johor, MalaysiaWe propose a new approach to optimizing portfolios to mean-variance-CVaR (MVC) model. Although of several researches have studied the optimal MVC model of portfolio, the linear weighted sum method (LWSM) was not implemented in the area. The aim of this paper is to investigate the optimal portfolio model based on MVC via LWSM. With this method, the solution of the MVC model of portfolio as the multiobjective problem is presented. In data analysis section, this approach in investing on two assets is investigated. An MVC model of the multiportfolio was implemented in MATLAB and tested on the presented problem. It is shown that, by using three objective functions, it helps the investors to manage their portfolio better and thereby minimize the risk and maximize the return of the portfolio. The main goal of this study is to modify the current models and simplify it by using LWSM to obtain better results.http://dx.doi.org/10.1155/2014/104064 |
collection |
DOAJ |
language |
English |
format |
Article |
sources |
DOAJ |
author |
Younes Elahi Mohd Ismail Abd Aziz |
spellingShingle |
Younes Elahi Mohd Ismail Abd Aziz Mean-Variance-CvaR Model of Multiportfolio Optimization via Linear Weighted Sum Method Mathematical Problems in Engineering |
author_facet |
Younes Elahi Mohd Ismail Abd Aziz |
author_sort |
Younes Elahi |
title |
Mean-Variance-CvaR Model of Multiportfolio Optimization via Linear Weighted Sum Method |
title_short |
Mean-Variance-CvaR Model of Multiportfolio Optimization via Linear Weighted Sum Method |
title_full |
Mean-Variance-CvaR Model of Multiportfolio Optimization via Linear Weighted Sum Method |
title_fullStr |
Mean-Variance-CvaR Model of Multiportfolio Optimization via Linear Weighted Sum Method |
title_full_unstemmed |
Mean-Variance-CvaR Model of Multiportfolio Optimization via Linear Weighted Sum Method |
title_sort |
mean-variance-cvar model of multiportfolio optimization via linear weighted sum method |
publisher |
Hindawi Limited |
series |
Mathematical Problems in Engineering |
issn |
1024-123X 1563-5147 |
publishDate |
2014-01-01 |
description |
We propose a new approach to optimizing portfolios to mean-variance-CVaR (MVC) model. Although of several researches have studied the optimal MVC model of portfolio, the linear weighted sum method (LWSM) was not implemented in the area. The aim of this paper is to investigate the optimal portfolio model based on MVC via LWSM. With this method, the solution of the MVC model of portfolio as the multiobjective problem is presented. In data analysis section, this approach in investing on two assets is investigated. An MVC model of the multiportfolio was implemented in MATLAB and tested on the presented problem. It is shown that, by using three objective functions, it helps the investors to manage their portfolio better and thereby minimize the risk and maximize the return of the portfolio. The main goal of this study is to modify the current models and simplify it by using LWSM to obtain better results. |
url |
http://dx.doi.org/10.1155/2014/104064 |
work_keys_str_mv |
AT youneselahi meanvariancecvarmodelofmultiportfoliooptimizationvialinearweightedsummethod AT mohdismailabdaziz meanvariancecvarmodelofmultiportfoliooptimizationvialinearweightedsummethod |
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