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Please use this identifier to cite or link to this item: http://bura.brunel.ac.uk/handle/2438/687

Title: Mean-risk models using two risk measures: A multi-objective approach
Authors: Roman, D
Mitra, G
Darby-Dowman, K
Publication Date: 2006
Publisher: The Centre for the Analysis of Risk and Optimisation Modelling Applications (CARISMA), Brunel University
Citation: CTR/51/06: Mean-Risk Models using Two Risk Measures: A Multi-Objective Approach
Series/Report no.: Technical Reports;51/06
Abstract: This paper proposes a model for portfolio optimisation, in which distributions are characterised and compared on the basis of three statistics: the expected value, the variance and the CVaR at a specified confidence level. The problem is multi-objective and transformed into a single objective problem in which variance is minimised while constraints are imposed on the expected value and CVaR. In the case of discrete random variables, the problem is a quadratic program. The mean-variance (mean-CVaR) efficient solutions that are not dominated with respect to CVaR (variance) are particular efficient solutions of the proposed model. In addition, the model has efficient solutions that are discarded by both mean-variance and mean-CVaR models, although they may improve the return distribution. The model is tested on real data drawn from the FTSE 100 index. An analysis of the return distribution of the chosen portfolios is presented.
URI: http://bura.brunel.ac.uk/handle/2438/687
Appears in Collections:School of Information Systems, Computing and Mathematics Research Papers
Mathematical Science

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