The Mean-CVaR Model for Portfolio Optimization Using a Multi-Objective Approach and the Kalai-Smorodinsky Solution
The purpose of this work is to present a model for portfolio multi-optimization, in which distributions are compared on the basis of tow statistics: the expected value and the Conditional Value-at-Risk (CVaR), to solve such a problem many authors have developed several algorithms, in this work we pr...
| Main Authors: | , , , , |
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| Format: | Article |
| Language: | English |
| Published: |
EDP Sciences
2017-01-01
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| Series: | MATEC Web of Conferences |
| Online Access: | https://doi.org/10.1051/matecconf/201710500010 |