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Mathematical Problems in Engineering
Volume 2014, Article ID 104064, 7 pages
Research Article

Mean-Variance-CvaR Model of Multiportfolio Optimization via Linear Weighted Sum Method

Faculty of Science, Department of Mathematics, Universiti Teknologi Malaysia, 81310 Johor Bahru, Johor, Malaysia

Received 16 July 2013; Accepted 22 January 2014; Published 30 March 2014

Academic Editor: Hao Shen

Copyright © 2014 Younes Elahi and Mohd Ismail Abd Aziz. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.


We propose a new approach to optimizing portfolios to mean-variance-CVaR (MVC) model. Although of several researches have studied the optimal MVC model of portfolio, the linear weighted sum method (LWSM) was not implemented in the area. The aim of this paper is to investigate the optimal portfolio model based on MVC via LWSM. With this method, the solution of the MVC model of portfolio as the multiobjective problem is presented. In data analysis section, this approach in investing on two assets is investigated. An MVC model of the multiportfolio was implemented in MATLAB and tested on the presented problem. It is shown that, by using three objective functions, it helps the investors to manage their portfolio better and thereby minimize the risk and maximize the return of the portfolio. The main goal of this study is to modify the current models and simplify it by using LWSM to obtain better results.