Universiti Teknologi Malaysia Institutional Repository

Mean-variance-CvaR Model of multiportfolio optimization via linear weighted sum method

Abdul Aziz, Mohd. Ismail and Elahi, Younes (2014) Mean-variance-CvaR Model of multiportfolio optimization via linear weighted sum method. Mathematical Problems in Engineering . ISSN 1024-123X

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Official URL: http://dx.doi.org/10.1155/2014/104064

Abstract

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 model based on MVC via LWSM. With this method, the solution of the MVC model of portfolio as the multiobjective problem is presented. In data analysis section, this approach in investing on two assets is investigated. An MVC model of the multiportfolio was implemented in MATLAB and tested on the presented problem. It is shown that, by using three objective functions, it helps the investors to manage their portfolio better and thereby minimize the risk and maximize the return of the portfolio. The main goal of this study is to modify the current models and simplify it by using LWSM to obtain better results

Item Type:Article
Uncontrolled Keywords:current models, linear weighted sum methods, multi-objective problem, new approaches
Subjects:Q Science
Divisions:Science
ID Code:53384
Deposited By: Siti Nor Hashidah Zakaria
Deposited On:01 Feb 2016 11:53
Last Modified:25 Jul 2018 15:57

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