A modified mean-variance-conditional value at risk model of multi-objective portfolio optimization with an application in finance

This research focuses on the development of a portfolio optimization model based on the classic optimization method and a meta-heuristic algorithm. The main goal of a portfolio optimization model is to achieve maximum return with minimum investment risk by allocating capital based on a set of existi...

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Bibliographic Details
Main Author: Elahi, Younes
Format: Thesis
Published: 2014
Online Access:http://eprints.utm.my/id/eprint/78634/1/YounesElahiPFS2014.pdf
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