International Journal of Applied Operational Research
ژورنال بین المللی پژوهش عملیاتی
International Journal of Applied Operational Research - An Open Access Journal
Basic Sciences
http://ijorlu.lahijan.iau.ir
1
admin
2251-6867
2251-9432
8
7
14
8888
13
en
jalali
1392
3
1
gregorian
2013
6
1
3
3
online
1
fulltext
en
A Fuzzy Approach to Mean-CDaR Portfolio Optimization
تخصصي
Special
پژوهشي
Research
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.
0
0
http://ijorlu.lahijan.iau.ir/browse.php?a_code=A-10-1-63&slc_lang=en&sid=1
A. R. Ghahtarani
alighahtaran@yahoo.com
1003194753284600275
1003194753284600275
Yes
A. A. Najafi
1003194753284600276
1003194753284600276
No