• Title of article

    A Fuzzy Approach to Mean-CDaR Portfolio Optimization

  • Author/Authors

    Ghahtarani، A. R. نويسنده M.Sc, Department of Industrial Engineering, K.N , , Najafi، A. A. نويسنده Assistant Professor, Department of Industrial Engineering, K.N ,

  • Issue Information
    فصلنامه با شماره پیاپی 9 سال 2013
  • Pages
    10
  • From page
    95
  • To page
    104
  • 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.
  • Journal title
    International Journal of Applied Operational Research
  • Serial Year
    2013
  • Journal title
    International Journal of Applied Operational Research
  • Record number

    883966

    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=10&DC=883966