Portfolio Optimization with Systemic Risk Approach

Portfolio optimization has always been the main concern of investors. What differentiates different optimization models from each other is the risk measure. The main contribution of this paper is to provide a portfolio optimization model that considers systemic risk so that it can help investors mak...

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Bibliografiske detaljer

Principais autores:	Mohammad Azad, Mirfeiz Fallah Shams, Ali Rahmani, Teymour Mohammadi
Format:	Artigo
Sprog:	Inglês
Udgivet:	Iran Finance Association 2025-01-01
Serier:	Iranian Journal of Finance
Fag:	delta conditional value at risk (∆covar) sharpe ratio modern portfolio theory (mpt) post-modern portfolio theory (pmpt) efficient frontier
Online adgang:	https://www.ijfifsa.ir/article_210096_5a172c5825469b5a7debbbef3ae81c98.pdf
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