Optimal Portfolio Selection for Tehran Stock Exchange Using Conditional, Partitioned and Worst-case Value at Risk Measures

Bagher Adabi firouzjaee, Mohsen Mehrara and Shapour Mohammadi
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Bagher Adabi firouzjaee: university of Tehran
Mohsen Mehrara: university of Tehran
Shapour Mohammadi: university of Tehran

Journal of Money and Economy, 2014, vol. 9, issue 1, 1-30

Abstract: This paper presents an optimal portfolio selection approach based on value at risk (VaR), conditional value at risk (CVaR), worst-case value at risk (WVaR) and partitioned value at risk (PVaR) measures as well as calculating these risk measures. Mathematical solution methods for solving these optimization problems are inadequate and very

Keywords: portfolio optimization; value at risk; CVaR; WVaR; PVaR; HGAPSO (search for similar items in EconPapers)
Date: 2014
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