The Optimal Portfolio Model Based on Mean-CvaR with Linear Weighted Sum Method - Yu, Xing; Tan, Yuling; Liu, Liang; Huang, Wenfeng (2012 Fifth International Joint Conference on Computational Sciences and Optimization, 2012)
Keywords: CVAR; Gaussian distribution; Investments; linear weighted sum method; Mathematical model; Modeling; multi-objectives programming; Optimization; Portfolios; Reactive power; the optimal portfolio; VAR