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

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 simu...

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Bibliographic Details
Published in:Mathematical modelling of natural phenomena 2010, Vol.5 (Supplement), p.103-108
Main Authors: Taik, A., Aboulaich, R., Ellaia, R., El Moumen, S.
Format: Article
Language:English
Subjects:
46N10
74P10
CVaR
hybrid method SASP
multi-objective optimization
NBI method
simulated annealing
simultaneous perturbation
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Summary: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
ISSN:0973-5348
1760-6101
DOI:10.1051/mmnp/20105717