Modeling of Mean-Value-at-Risk Investment Portfolio Optimization Considering Liabilities and Risk-Free Assets
This paper aims to design a quadratic optimization model of an investment portfolio based on value-at-risk (VaR) by entering risk-free assets and company liabilities. The designed model develops Markowitz’s investment portfolio optimization model with risk aversion. Model development was carried out...
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| Автори: | , , , , , , |
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| Формат: | Artigo |
| Мова: | Inglês |
| Опубліковано: |
MDPI AG
2024-06-01
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| Серія: | Computation |
| Предмети: | |
| Онлайн доступ: | https://www.mdpi.com/2079-3197/12/6/120 |
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