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Browsing by Subject "conditional value-at-risk"

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  • thumbnail.journal.alt
    Item type:Article, Access status: Open Access ,
    A bi-objective portfolio optimization with conditional value-at-risk
    (2010) Sawik, Bartosz
    This paper presents a bi-objective portfolio model with the expected return as a performance measure and the expected worst-case return as a risk measure. The problems are formulated as a bi-objective linear program. Numerical examples based on 1000, 3500 and 4020 historical daily input data from the Warsaw Stock Exchange are presented and selected computational results are provided. The computational experiments prove that the proposed linear programming approach provides the decision maker with a simple tool for evaluating the relationship between the expected and the worst-case portfolio return.
  • thumbnail.journal.alt
    Item type:Article, Access status: Open Access ,
    Conditional value-at-risk and value-at-risk for portfolio optimization model with weighting approach
    (Wydawnictwa AGH, 2011) Sawik, Bartosz
    This paper presents a multi-objective portfolio models with the expected return as a performance measure and the expected worst-case return as a risk measure. The problem objective is to allocate the wealth on different securities to optimize the portfolio expected return. This portfolio approach has allowed the two popular in financial engineering percentile measures of risk, value-at-risk (VaR) and conditional value-at-risk (CVaR) to be applied. Numerical examples based on historical daily input data from the Warsaw Stock Exchange are presented and selected computational results are provided.
  • thumbnail.journal.alt
    Item type:Thesis, Access status: Restricted ,
    Różne miary ryzyka - badania porównawcze
    (Data obrony: 2018-11-21) Obrzut, Artur
    Wydział Matematyki Stosowanej