MATEC Web Conf.
Volume 105, 2017International Workshop on Transportation and Supply Chain Engineering (IWTSCE’16)
|Number of page(s)||4|
|Published online||14 April 2017|
The Mean-CVaR Model for Portfolio Optimization Using a Multi-Objective Approach and the Kalai-Smorodinsky Solution
1 LERMA, Mohammadia School of Engineering, Mohammed V University Rabat, Morocco
2 LIMSAD, Mathematics and computing Department, Ain Chock Sciences Faculty, Casablanca, Morocco
3 INRIA, University of Nice Sophia-Antipolis, France
4 LMA, Hassan II University Casablanca, FST, Mohammedia, Morocco
* e-mail: firstname.lastname@example.org
The purpose of this work is to present a model for portfolio multi-optimization, in which distributions are compared on the basis of tow statistics: the expected value and the Conditional Value-at-Risk (CVaR), to solve such a problem many authors have developed several algorithms, in this work we propose to find the efficient boundary by using the Normal Boundary Intersection approach (NBI) based on our proposed hybrid method SASP, since the considered problem is multi-objective, then we find the Kalai-smorodinsky solution.
© The Authors, published by EDP Sciences, 2017
This is an Open Access article distributed under the terms of the Creative Commons Attribution License 4.0, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
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