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Browsing by Subject "mathematical programming"

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    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.