Portfolio Optimization based on the Risk Minimization by the Weight-Modified CVaR vs. CVaR Method
Given the lack of a specific approach to the explanation of values of optimal portfolio weights in the portfolio optimization, the present study aimed to examine large-scale portfolio optimization according to both stock weighting and utilization of SCAD function to minimize the portfolio risk based...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Iran Finance Association
2022-04-01
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| Series: | Iranian Journal of Finance |
| Subjects: | |
| Online Access: | https://www.ijfifsa.ir/article_144997_024c231468b1c86ab1853ff5e9772095.pdf |