On Conditional Value-at-Risk Based Goal Programming Portfolio Selection Procedure

Bogumił Kamiński, Marcin Czupryna () and Tomasz Szapiro
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Marcin Czupryna: Warsaw School of Economics

A chapter in Multiobjective Programming and Goal Programming, 2009, pp 243-252 from Springer

Abstract: Abstract A new goal programming portfolio selection procedure has been proposed in the paper. It uses conditional value at risk at different confidence levels as objectives in a multi-criteria optimisation model. In order to asses the proposed procedure a new comparison method of different portfolio selection models is developed. Based on Warsaw Stock Exchange data it is shown that the proposed approach has better performance than the chosen standard portfolio selection methods.

Keywords: Conditional value at risk; Goal programming; Portfolio selection (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:spr:lnechp:978-3-540-85646-7_23

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DOI: 10.1007/978-3-540-85646-7_23

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