The Mean-CVaR Model for Portfolio Optimization Using a Multi-Objective Approach and the Kalai-Smorodinsky Solution - Inria - Institut national de recherche en sciences et technologies du numérique
Article Dans Une Revue MATEC Web of Conferences Année : 2017

The Mean-CVaR Model for Portfolio Optimization Using a Multi-Objective Approach and the Kalai-Smorodinsky Solution

Résumé

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 propose to find the efficient boundary by using the Normal Boundary Intersection approach (NBI) based on our proposed hybrid method SASP, since the considered problem is multi-objective, then we find the Kalai-smorodinsky solution.

Domaines

Optimisation et contrôle [math.OC] Gestion de portefeuilles [q-fin.PM]
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https://inria.hal.science/hal-01575730

Soumis le : lundi 21 août 2017-15:38:41

Dernière modification le : mardi 5 novembre 2024-09:26:05

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Dates et versions

hal-01575730 , version 1 (21-08-2017)

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Rajae Aboulaich, Rachid Ellaia, Samira El Moumen, Abderahmane Habbal, Noureddine Moussaid. The Mean-CVaR Model for Portfolio Optimization Using a Multi-Objective Approach and the Kalai-Smorodinsky Solution. MATEC Web of Conferences, 2017, 105, pp.4. ⟨10.1051/matecconf/201710500010⟩. ⟨hal-01575730⟩

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