Math. Model. Nat. Phenom.
Volume 5, Number 7, 2010JANO9 – The 9th International Conference on Numerical Analysis and Optimization
|Page(s)||103 - 108|
|Published online||26 August 2010|
The Mean-Variance-CVaR model for Portfolio Optimization Modeling using a Multi-Objective Approach Based on a Hybrid Method
LERMA, EMI, Av. Ibn Sina
B.P. 765 Agdal, Rabat, Morocco
* Corresponding author: E-mail:
In this paper we present a new hybrid method, called SASP method. We propose the hybridization of two methods, the simulated annealing (SA), which belong to the class of global optimization based on the principles of thermodynamics, and the descent method were we estimate the gradient using the simultaneous perturbation. This hybrid method gives better results. We use the Normal Boundary Intersection approach (NBI) based on the SASP method to solve a portfolio optimization problem. Such problem is a multi-objective optimization problem, in order to solve this problem we use three statistical quantities: the expected value, the variance and the Conditional Value-at-Risk (CVaR). The purpose of this work is to find the efficient boundary of the considered multi-objective problem using the NBI method based on the SASP method
Mathematics Subject Classification: 46N10 / 74P10
Key words: CVaR / multi-objective optimization / NBI method / hybrid method SASP / simultaneous perturbation / simulated annealing
© EDP Sciences, 2010
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