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CVAR 1 Linear weighted sum method 1 Multi- objectives programming 1 Multivariate t distribution 1 The optimal portfolio 1
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Yu, Xing 1
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E3 Journal of Business Management and Economics. 1
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Did you mean: subject:"Multi- objective programming" (168 results)
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The optimal portfolio model based on multivariate t distribution with linear weighted sum method
Yu, Xing - In: E3 Journal of Business Management and Economics. 3 (2012) 1, pp. 044-047
This paper proposed the optimal portfolio model maximizing returns and minimizing the risk expressed as CvaR under the assumption that the portfolio yield is subject to the multivariate t distribution. With linear weighted sum method, we solved the multi-objectives model, and compared the model...
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