Portfolio Optimization based on the Risk Minimization by the Weight-Modified CVaR vs. CVaR Method

Mohammad Esmaeil Fadaeinejad; Mohamad Taghi Vaziri; Hossein Asadi; Mohammad Javad Faryadras

Volume 6, Issue 2 , April 2022, , Pages 70-94


  Given the lack of a specific approach to the explanation of values of optimal portfolio weights in the portfolio optimization, the present study aimed to examine large-scale portfolio optimization according to both stock weighting and utilization of SCAD function to minimize the portfolio risk based ...  Read More