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A Fuzzy Approach to Mean-CDaR Portfolio Optimization
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A. R. Ghahtarani   , A. A. Najafi |
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Abstract: (8597 Views) |
| 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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Full-Text [PDF 715 kb]
(4143 Downloads)
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Type of Study: Research |
Subject:
Special
Received: 2013/06/23 | Published: 2013/06/15
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