Published 2017 | Version v1
Journal article Metadata-only

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

Aboulaich, Rajae
Ellaia, Rachid
El Moumen, Samira
Habbal, Abderahmane
Moussaid, Noureddine
Others:
Laboratoire d'Etudes et Recherche en Mathématiques Appliquées (LERMA) ; Ecole Mohammadia d'Ingénieurs (EMI)
Analysis and Control of Unsteady Models for Engineering Sciences (ACUMES) ; Inria Sophia Antipolis - Méditerranée (CRISAM) ; Institut National de Recherche en Informatique et en Automatique (Inria)-Institut National de Recherche en Informatique et en Automatique (Inria)

Description

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.

Abstract

International audience

Additional details

Identifiers Origin repository
Created:
March 25, 2023
Modified:
November 27, 2023