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The Mean-Variance-CVaR model for Portfolio Optimization Modeling using a Multi-Objective Approach Based on a Hybrid Method

Published online by Cambridge University Press:  26 August 2010

A. Taik ,
R. Aboulaich ,
R. Ellaia  and
S. El Moumen
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Abstract

In this paper we present a new hybrid method, called SASP method. We propose the hybridization of two methods, the simulated annealing (SA), which belong to the class of global optimization based on the principles of thermodynamics, and the descent method were we estimate the gradient using the simultaneous perturbation. This hybrid method gives better results. We use the Normal Boundary Intersection approach (NBI) based on the SASP method to solve a portfolio optimization problem. Such problem is a multi-objective optimization problem, in order to solve this problem we use three statistical quantities: the expected value, the variance and the Conditional Value-at-Risk (CVaR). The purpose of this work is to find the efficient boundary of the considered multi-objective problem using the NBI method based on the SASP method

Keywords

CVaRmulti-objective optimizationNBI methodhybrid method SASPsimultaneous perturbationsimulated annealing
Type
Research Article
Information
Mathematical Modelling of Natural Phenomena , Volume 5 , Issue 7: JANO9 – The 9th International Conference on Numerical Analysis and Optimization , 2010 , pp. 103 - 108
Copyright
© EDP Sciences, 2010

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