Robust Portfolio Optimization by Applying Multi-objective and Omega-conditional Value at Risk Models Based on the Mini-max Regret Criterion
Objective: To produce a proper reaction when confronted with market uncertainties (booms and busts), before making any investment decisions, investors and financial institutions tend to obtain some level of assurance about the market’s future and also the market’s probable feedback on their performa...
| Main Authors: | , |
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| Format: | Article |
| Language: | fas |
| Published: |
University of Tehran
2022-05-01
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| Series: | تحقیقات مالی |
| Subjects: | |
| Online Access: | https://jfr.ut.ac.ir/article_87703_354a6f781f465edcd4444ae256d02100.pdf |