The multi-objective portfolio model based on CVaR

MaRDI QIDQ2991480zbMATH OpenFDO

Authors Tianshan Yang, Zhen Lei, Tengfei Wan, Zengxin Wei

Publication date 10 August 2016

zbMATH Keywords

investment portfoliomulti-objective modelmulti-objective particle swarm optimization

Mathematics Subject Classification ID

Multi-objective and goal programming (90C29) Approximation methods and heuristics in mathematical programming (90C59) Portfolio theory (91G10) Statistical methods; risk measures (91G70)

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(10)

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• Portfolio analysis of REF method based on mean variance optimization of multi-objective model
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• A personalized mean-CVaR portfolio optimization model for individual investment

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