Browsing by Subject "portfolio optimization"

Now showing 1 - 5 of 5

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.
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.
Access status: Restricted ,
Koherentne miary ryzyka
(Data obrony: 2013-10-18) Sumara, Tomasz
Wydział Matematyki Stosowanej
Access status: Restricted ,
Pewne zastosowania teorii sterowania w matematyce finansowej
(Data obrony: 2015-04-22) Ogiegło, Anna
Wydział Matematyki Stosowanej
Access status: Restricted ,
Wartość narażona na ryzyko $CaR$ w teorii portfela
(Data obrony: 2010-04-09) Celarek, Paweł
Wydział Matematyki Stosowanej