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A Fuzzy Approach to Mean-CDaR Portfolio Optimization
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نویسنده
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Ghahtarani A. R. ,Najafi A. A.
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منبع
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international journal of applied operational research - 2013 - دوره : 3 - شماره : 3 - صفحه:95 -104
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چکیده
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This paper develops a bi-objective portfolio selection problem that maximizes returns and minimizes a risk measure called conditional drawdown (cdd). the drawdown measures include the maximal drawdown and average drawdown as its limiting case. the cdd family of risk functional is similar to conditional value at risk (cvar). in this paper, the fuzzy method has been used to solve the bi-objectives model. the relevance of the proposed model is illustrated by a real life portfolio selection.
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کلیدواژه
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Portfolio Selection ,Conditional Drawdown ,Bi-Objectives Programming ,Fuzzy Method
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آدرس
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k.n.toosi university of technology, M Sc, Department of Industrial Engineering, K N, ایران, k.n.toosi university of technology, Assistant Professor, Department of Industrial Engineering, K N, ایران
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Authors
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