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...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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Hindawi Publishing Corporation
2014
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| Online Access: | http://eprints.utm.my/53384/1/MohdIsmailAbdulAziz2014_MeanVarianceCvaRModelofMultiportfolioOptimization.pdf |