Mean-standard deviation-conditional value-at-risk portfolio optimization
The use of variance as a risk measure is limited by its non-coherentnature. On the other hand, standard deviation has been demonstrated as acoherent and effective measure of market volatility. This paper suggests theuse of standard deviation in portfolio optimization problems with cardinalityconstra...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Allameh Tabataba'i University Press
2023-09-01
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| Series: | Mathematics and Modeling in Finance |
| Subjects: | |
| Online Access: | https://jmmf.atu.ac.ir/article_16143_843342c89250203022682acc5eb645da.pdf |