This paper proposes a model for portfolio optimization, in which distributions are characterized and compared on the basis of three statistics: the expected value, the variance and the CVaR at a specified confidence level. The problem is multi-objective and transformed into a single objective...

We consider the mean-variance (M-V) model of Markowitz and the construction of the risk-return efficient frontier. We examine the effects of applying buy-in thresholds, cardinality constraints and transaction roundlot restrictions to the portfolio selection problem. Such discrete constraints are...