 Downside Risk Approach for Multi-Objective Portfolio OptimizationA chapter in Operations Research Proceedings 2011, 2012, pp 191-196 from Springer Abstract: Abstract This paper presents a multi-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 triple-objectivemixed integer program. One of the problem objectives is to allocate the wealth on different securities to optimize the portfolio return. The portfolio approach has allowed the two popular in financial engineering percentile measures of risk, value-at-risk (VaR) and conditional valueat- risk (CVaR) to be applied. The decision maker can assess the value of portfolio return and the risk level, and can decide how to invest in a real life situation comparing with ideal (optimal) portfolio solutions. The concave efficient frontiers illustrate the trade-off between the conditional value-at-risk and the expected return of the portfolio. Numerical examples based on historical daily input data from the Warsaw Stock Exchange are presented and selected computational results are provided. The computational experiments show that the proposed solution approach provides the decision maker with a simple tool for evaluating the relationship between the expected and the worst-case portfolio return. Date: 2012 There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:spr:oprchp:978-3-642-29210-1_31 Ordering information: This item can be ordered from DOI: 10.1007/978-3-642-29210-1_31 Access Statistics for this chapter More chapters in Operations Research Proceedings from Springer |
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