Portfolio optimization by using MeanSharp-βVaR and Multi Objective MeanSharp-βVaR models

DOI10.2298/FIL1803815BMaRDI QIDQ5023453zbMATH OpenOpenAlexFDO

Authors Shokoofeh Banihashemi, Sarah Navidi

Publication date 21 January 2022

Published in Filomat (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2298/fil1803815b

zbMATH Keywords

data envelopment analysisMeanSharp-\(\beta\)VaRmulti objective decision makingmulti objective MeanSharp-\(\beta\)VaRnegative dataportfolio optimizationvalue at risk

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50) Special problems of linear programming (transportation, multi-index, data envelopment analysis, etc.) (90C08) Multi-objective and goal programming (90C29) Portfolio theory (91G10)

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Cites work

• A semi-oriented radial measure for measuring the efficiency of decision making units with negative data, using DEA
• Computation of mean-semivariance efficient sets by the critical line algorithm
• Large returns, conditional correlation and portfolio diversification: a value-at-risk approach
• Measuring the efficiency of decision making units
• Negative data in DEA: a directional distance approach applied to bank branches
• Nonparametric estimation of value-at-risk
• Portfolio Value-at-Risk with Heavy-Tailed Risk Factors
• Predicting extreme value at risk: nonparametric quantile regression with refinements from extreme value theory
• Some Models for Estimating Technical and Scale Inefficiencies in Data Envelopment Analysis

Cited in

(4)

• Mean-variance-CVaR model of multiportfolio optimization via linear weighted sum method
• Non-linear equity portfolio variance reduction under a mean-variance framework -- a delta-gamma approach
• Mean-value at risk portfolio efficiency: approaches based on data envelopment analysis models with negative data and their empirical behaviour
• scientific article; zbMATH DE number 7404259 (Why is no real title available?)

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