A modified mean-variance-conditional value at risk model of multi-objective portfolio optimization with an application in finance
This research focuses on the development of a portfolio optimization model based on the classic optimization method and a meta-heuristic algorithm. The main goal of a portfolio optimization model is to achieve maximum return with minimum investment risk by allocating capital based on a set of existi...
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| Format: | Thesis |
| Language: | English |
| Published: |
2014
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| Online Access: | http://eprints.utm.my/id/eprint/78634/1/YounesElahiPFS2014.pdf http://eprints.utm.my/id/eprint/78634/ http://dms.library.utm.my:8080/vital/access/manager/Repository/vital:98457 |
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