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

Author

Listed:
  • Rajae Aboulaich

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

  • Rachid Ellaia

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

  • Samira El Moumen

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

Abstract

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.

Suggested Citation

  • Rajae Aboulaich & Rachid Ellaia & Samira El Moumen & Abderahmane Habbal & Noureddine Moussaid, 2017. "The Mean-CVaR Model for Portfolio Optimization Using a Multi-Objective Approach and the Kalai-Smorodinsky Solution," Post-Print hal-01575730, HAL.
    • Handle: RePEc:hal:journl:hal-01575730
    DOI: 10.1051/matecconf/201710500010
    Note: View the original document on HAL open archive server: https://inria.hal.science/hal-01575730
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    References listed on IDEAS

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    1. Rockafellar, R. Tyrrell & Uryasev, Stanislav, 2002. "Conditional value-at-risk for general loss distributions," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1443-1471, July.
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