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Mean-Variance-CvaR Model of Multiportfolio Optimization via Linear Weighted Sum Method

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  • Younes Elahi
  • Mohd Ismail Abd Aziz

Abstract

We propose a new approach to optimizing portfolios to mean-variance-CVaR (MVC) model. Although of several researches have studied the optimal MVC model of portfolio, the linear weighted sum method (LWSM) was not implemented in the area. The aim of this paper is to investigate the optimal portfolio model based on MVC via LWSM. With this method, the solution of the MVC model of portfolio as the multiobjective problem is presented. In data analysis section, this approach in investing on two assets is investigated. An MVC model of the multiportfolio was implemented in MATLAB and tested on the presented problem. It is shown that, by using three objective functions, it helps the investors to manage their portfolio better and thereby minimize the risk and maximize the return of the portfolio. The main goal of this study is to modify the current models and simplify it by using LWSM to obtain better results.

Suggested Citation

  • Younes Elahi & Mohd Ismail Abd Aziz, 2014. "Mean-Variance-CvaR Model of Multiportfolio Optimization via Linear Weighted Sum Method," Mathematical Problems in Engineering, Hindawi, vol. 2014, pages 1-7, March.
    • Handle: RePEc:hin:jnlmpe:104064
    DOI: 10.1155/2014/104064
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    Cited by:

    1. Xiaoran Huang & Demiao Yu, 2023. "Assessment of Regional Health Resource Carrying Capacity and Security in Public Health Emergencies Based on the COVID-19 Outbreak," IJERPH, MDPI, vol. 20(3), pages 1-27, January.

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