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The Mean-CVaR Model for Portfolio Optimization Using a Multi-Objective Approach and the Kalai-Smorodinsky Solution

Listed author(s):
  • Rajae Aboulaich

    (Mohammadia School of Engineering, Université Mohamed V - Mohammadia School of Engineering, Université Mohamed V, LERMA - Laboratoire d'Etudes et Recherche en Mathématiques Appliquées - Ecole Mohammadia d'Ingénieurs)

  • Rachid Ellaia

    (Mohammadia School of Engineering, Université Mohamed V - Mohammadia School of Engineering, Université Mohamed V, LERMA - Laboratoire d'Etudes et Recherche en Mathématiques Appliquées - Ecole Mohammadia d'Ingénieurs)

  • Samira El Moumen

    (LERMA - Laboratoire d'Etudes et Recherche en Mathématiques Appliquées - Ecole Mohammadia d'Ingénieurs)

  • Abderahmane Habbal

    (Acumes - Analysis and Control of Unsteady Models for Engineering Sciences - CRISAM - Inria Sophia Antipolis - Méditerranée - Inria - Institut National de Recherche en Informatique et en Automatique)

  • Noureddine Moussaid

    (LERMA - Laboratoire d'Etudes et Recherche en Mathématiques Appliquées - Ecole Mohammadia d'Ingénieurs)

Registered author(s):

    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.

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    File URL: https://hal.inria.fr/hal-01575730/document
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    Paper provided by HAL in its series Post-Print with number hal-01575730.

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    Date of creation: 2017
    Publication status: Published in MATEC Web of Conferences, EDP sciences, 2017, 105, pp.4. 〈10.1051/matecconf/201710500010 〉
    Handle: RePEc:hal:journl:hal-01575730
    DOI: 10.1051/matecconf/201710500010
    Note: View the original document on HAL open archive server: https://hal.inria.fr/hal-01575730
    Contact details of provider: Web page: https://hal.archives-ouvertes.fr/

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