INTERVAL OPTIMIZATION IN PORTFOLIO SELECTION WITH CONDITIONAL VALUE AT RISK

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NAJAFI AMIR ABBAS; NOPOUR KOBRA; GHATARANI ALIREZA

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Journal: FINANCIAL RESEARCH Year:2017 | Volume:19 | Issue:1 Page(s): 157-172

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Information Journal Paper

Title

INTERVAL OPTIMIZATION IN PORTFOLIO SELECTION WITH CONDITIONAL VALUE AT RISK

Author(s)

NAJAFI AMIR ABBAS | NOPOUR KOBRA | GHATARANI ALIREZA | Issue Writer Certificate

Keywords

CONDITIONAL VALUE AT RISKQ2

INTERVAL OPTIMIZATIONQ2

LINEAR PROGRAMMINGQ2

PORTFOLIO SELECTIONQ2

Abstract

In this paper PORTFOLIO SELECTION problem with INTERVAL OPTIMIZATION approach is surveyed. CVaR is risk measure. CVaR is the expected loss depending on the chosen confidence level. Using CVaR makes the PORTFOLIO SELECTION problem LINEAR PROGRAMMING. Contribution of this paper is to consider mean expected interval; this development help PORTFOLIO SELECTION problem to consider uncertainty. INTERVAL OPTIMIZATION is modeling approach to consider parameters uncertainty in this paper. Considering uncertainty make model more realistic. The results of model show that this approach has computational efficiency and on the other hand proposed model produce better solution in risk and portfolio rate of return point of view.

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APA: Copy

NAJAFI, AMIR ABBAS, NOPOUR, KOBRA, & GHATARANI, ALIREZA. (2017). INTERVAL OPTIMIZATION IN PORTFOLIO SELECTION WITH CONDITIONAL VALUE AT RISK. FINANCIAL RESEARCH, 19(1 ), 157-172. SID. https://sid.ir/paper/91236/en

Vancouver: Copy

NAJAFI AMIR ABBAS, NOPOUR KOBRA, GHATARANI ALIREZA. INTERVAL OPTIMIZATION IN PORTFOLIO SELECTION WITH CONDITIONAL VALUE AT RISK. FINANCIAL RESEARCH[Internet]. 2017;19(1 ):157-172. Available from: https://sid.ir/paper/91236/en

IEEE: Copy

AMIR ABBAS NAJAFI, KOBRA NOPOUR, and ALIREZA GHATARANI, “INTERVAL OPTIMIZATION IN PORTFOLIO SELECTION WITH CONDITIONAL VALUE AT RISK,” FINANCIAL RESEARCH, vol. 19, no. 1 , pp. 157–172, 2017, [Online]. Available: https://sid.ir/paper/91236/en

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