The mean-cvar model for portfolio optimization using a multi-objective approach and the kalai-smorodinsky solution

HIGHLIGHTS

  • who: Aboulaich R. and colleagues from the Mohammadia School of Engineering, Mohammed V University Rabat, University of Nice Sophia-Antipolis, France have published the Article: The Mean-CVaR Model for Portfolio Optimization Using a Multi-Objective Approach and the Kalai-Smorodinsky Solution, in the Journal: (JOURNAL)
  • what: The aim 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 . . .

     

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