A Maximum Loss Minimization Model for Portfolio Selection Based on the CVaR Measurement

Cong Wang; Zhi Gang Zhang

doi:10.4028/www.scientific.net/AMR.524-527.3828

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HomeAdvanced Materials ResearchAdvanced Materials Research Vols. 524-527A Maximum Loss Minimization Model for Portfolio...

A Maximum Loss Minimization Model for Portfolio Selection Based on the CVaR Measurement

Abstract:

With the application of the pessimistic decision-making method, we make our portfolio selection with the objective of “maximum loss minimization”. First, we develop a maximum ordinary loss minimization model and then we form a maximum mean excess loss minimization model on the basis of the CVaR risk measurement. On the basis of the two models, we put forward a new concept loss gap and define it. Last, we establish a maximum loss gap minimization model and discuss the relationship between it and the MV model.

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Periodical:

Advanced Materials Research (Volumes 524-527)

Pages:

3828-3833

DOI:

https://doi.org/10.4028/www.scientific.net/AMR.524-527.3828

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Online since:

May 2012

Authors:

Cong Wang, Zhi Gang Zhang

Keywords:

CVaR, Loss Gap, Maximum Loss Minimization

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