Studies in Mathematical Sciences
The Optimal Portfolio Model Based on Multivariate T Distribution with Fuzzy Mathematics Method
Abstract
This paper proposed the optimal portfolio model maximizing returns and minimizing the risk expressed as CvaR under the assumption that the portfolio yield subject to multivariate t distribution. With Fuzzy Mathematics, we solve the multi-objectives model, and compare the model results to the case under the assumption of normal distribution yield, based on the portfolio VAR through empirical research. It is showed that our returns and risk are higher than M-V model.
Key words: Multivariate t distribution; The optimal portfolio; VAR; CVAR; Multi-objectives programming; Fuzzy mathematics
Keywords
Full Text:
PDFDOI: http://dx.doi.org/10.3968/j.sms.1923845220120401.398
DOI (PDF): http://dx.doi.org/10.3968/g2266
Refbacks
- There are currently no refbacks.
Copyright (c)
Share us to: 
Reminder
If you have already registered in Journal A and plan to submit article(s) to Journal B, please click the CATEGORIES, or JOURNALS A-Z on the right side of the "HOME".
We only use three mailboxes as follows to deal with issues about paper acceptance, payment and submission of electronic versions of our journals to databases:
[email protected]; [email protected]; [email protected]
Articles published in Studies in Mathematical Sciences are licensed under Creative Commons Attribution 4.0 (CC-BY).
STUDIES IN MATHEMATICAL SCIENCES Editorial Office
Address: 1055 Rue Lucien-L'Allier, Unit #772, Montreal, QC H3G 3C4, Canada.
Telephone: 1-514-558 6138
Http://www.cscanada.net
Http://www.cscanada.org
E-mail:[email protected]
Copyright © 2010 Canadian Research & Development Centre of Sciences and Cultures 
