A bi-objective portfolio optimization with conditional value-at-risk

DOI10.7494/DMMS.2010.4.2.47MaRDI QIDQ2902361zbMATH OpenOpenAlexWikidataFDO

Authors Bartosz Sawik

Publication date 19 August 2012

Published in Decision Making in Manufacturing and Services (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NoDerivs 4.0 International

Full work available at URL https://doi.org/10.7494/dmms.2010.4.2.47

zbMATH Keywords

conditional value-at-risklinear programmingmulti-criteria decision makingportfolio optimizationweighting approach

Mathematics Subject Classification ID

Linear programming (90C05) Multi-objective and goal programming (90C29) Applications of mathematical programming (90C90) Portfolio theory (91G10) Financial applications of other theories (91G80)

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Cited in

(6)

• Bi-objective portfolio of risky securities with lower bound and empirical study
• On Conditional Value-at-Risk Based Goal Programming Portfolio Selection Procedure
• A Reference Point Approach to Bi-Objective Dynamic Portfolio Optimization
• Downside risk approach for multi-objective portfolio optimization
• Computational Science - ICCS 2004
• Portfolio optimization based on bi-objective linear programming

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• LINGO

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