A FUZZY APPROACH TO MEAN-CDAR PORTFOLIO OPTIMIZATION

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GHAHTARANI A.R.; NAJAFI A.A.

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Journal Paper

Paper Information

Journal: INTERNATIONAL JOURNAL OF APPLIED OPERATIONAL RESEARCH Year:2013 | Volume:3 | Issue:3 Page(s): 95-104

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Title

A FUZZY APPROACH TO MEAN-CDAR PORTFOLIO OPTIMIZATION

Author(s)

GHAHTARANI A.R. | NAJAFI A.A. | Issue Writer Certificate

Keywords

PORTFOLIO SELECTION

CONDITIONAL DRAWDOWN

BI-OBJECTIVES PROGRAMMING

FUZZY METHOD

Abstract

This paper develops a bi-objective PORTFOLIO SELECTION problem that maximizes returns and minimizes a risk measure called CONDITIONAL DRAWDOWN (CDD). The drawdown measures include the maximal Drawdown and Average Drawdown as its limiting case. The CDD family of risk functional is similar to conditional value at Risk (CVaR). In this paper, the FUZZY METHOD has been used to solve the bi-objectives model. The relevance of the proposed model is illustrated by a real life PORTFOLIO SELECTION.

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APA: Copy

GHAHTARANI, A.R., & NAJAFI, A.A.. (2013). A FUZZY APPROACH TO MEAN-CDAR PORTFOLIO OPTIMIZATION. INTERNATIONAL JOURNAL OF APPLIED OPERATIONAL RESEARCH, 3(3), 95-104. SID. https://sid.ir/paper/628562/en

Vancouver: Copy

GHAHTARANI A.R., NAJAFI A.A.. A FUZZY APPROACH TO MEAN-CDAR PORTFOLIO OPTIMIZATION. INTERNATIONAL JOURNAL OF APPLIED OPERATIONAL RESEARCH[Internet]. 2013;3(3):95-104. Available from: https://sid.ir/paper/628562/en

IEEE: Copy

A.R. GHAHTARANI, and A.A. NAJAFI, “A FUZZY APPROACH TO MEAN-CDAR PORTFOLIO OPTIMIZATION,” INTERNATIONAL JOURNAL OF APPLIED OPERATIONAL RESEARCH, vol. 3, no. 3, pp. 95–104, 2013, [Online]. Available: https://sid.ir/paper/628562/en

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