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

Table 2

Results of MVC model of portfolio refer to two assets (see Section 4) by MATLAB.

𝑤1=0.000000	𝑤2=1.000000	𝑧=1.083819
𝑤1=0.010000	𝑤2=0.990000	𝑧=1.086554
𝑤1=0.020000	𝑤2=0.980000	𝑧=1.089293
𝑤1=0.030000	𝑤2=0.970000	𝑧=1.092035
𝑤1=0.040000	𝑤2=0.960000	𝑧=1.094779
𝑤1=0.050000	𝑤2=0.950000	𝑧=1.097527
𝑤1=0.060000	𝑤2=0.940000	𝑧=1.100278
𝑤1=0.070000	𝑤2=0.930000	𝑧=1.103031
𝑤1=0.080000	𝑤2=0.920000	𝑧=1.105788
𝑤1=0.090000	𝑤2=0.910000	𝑧=1.108547
𝑤1=0.100000	𝑤2=0.900000	𝑧=1.111310
𝑤1=0.110000	𝑤2=0.890000	𝑧=1.114075
𝑤1=0.120000	𝑤2=0.880000	𝑧=1.116844
𝑤1=0.130000	𝑤2=0.870000	𝑧=1.119615
𝑤1=0.140000	𝑤2=0.860000	𝑧=1.122389
𝑤1=0.150000	𝑤2=0.850000	𝑧=1.125167
𝑤1=0.160000	𝑤2=0.840000	𝑧=1.127947
𝑤1=0.170000	𝑤2=0.830000	𝑧=1.130730
𝑤1=0.180000	𝑤2=0.820000	𝑧=1.133517
𝑤1=0.190000	𝑤2=0.810000	𝑧=1.136306
𝑤1=0.200000	𝑤2=0.800000	𝑧=1.139098
𝑤1=0.210000	𝑤2=0.790000	𝑧=1.141893
𝑤1=0.220000	𝑤2=0.780000	𝑧=1.144691
𝑤1=0.230000	𝑤2=0.770000	𝑧=1.147493
𝑤1=0.240000	𝑤2=0.760000	𝑧=1.150297
𝑤1=0.250000	𝑤2=0.750000	𝑧=1.153104
𝑤1=0.260000	𝑤2=0.740000	𝑧=1.155914
𝑤1=0.270000	𝑤2=0.730000	𝑧=1.158727
𝑤1=0.280000	𝑤2=0.720000	𝑧=1.161543
𝑤1=0.290000	𝑤2=0.710000	𝑧=1.164362
𝑤1=0.300000	𝑤2=0.700000	𝑧=1.167184
𝑤1=0.310000	𝑤2=0.690000	𝑧=1.170009
𝑤1=0.320000	𝑤2=0.680000	𝑧=1.172837
𝑤1=0.330000	𝑤2=0.670000	𝑧=1.175668
𝑤1=0.340000	𝑤2=0.660000	𝑧=1.178501
𝑤1=0.350000	𝑤2=0.650000	𝑧=1.181338
𝑤1=0.360000	𝑤2=0.640000	𝑧=1.184178
𝑤1=0.370000	𝑤2=0.630000	𝑧=1.187021
𝑤1=0.380000	𝑤2=0.620000	𝑧=1.189867
𝑤1=0.390000	𝑤2=0.610000	𝑧=1.192715
𝑤1=0.400000	𝑤2=0.600000	𝑧=1.195567
𝑤1=0.410000	𝑤2=0.590000	𝑧=1.198422
𝑤1=0.420000	𝑤2=0.580000	𝑧=1.201279
𝑤1=0.430000	𝑤2=0.570000	𝑧=1.204140
𝑤1=0.440000	𝑤2=0.560000	𝑧=1.207004
𝑤1=0.450000	𝑤2=0.550000	𝑧=1.209870
𝑤1=0.460000	𝑤2=0.540000	𝑧=1.212740
𝑤1=0.470000	𝑤2=0.530000	𝑧=1.215612
𝑤1=0.480000	𝑤2=0.520000	𝑧=1.218488
𝑤1=0.490000	𝑤2=0.510000	𝑧=1.221366
𝑤1=0.500000	𝑤2=0.500000	𝑧=1.224248
𝑤1=0.510000	𝑤2=0.490000	𝑧=1.227132
𝑤1=0.520000	𝑤2=0.480000	𝑧=1.230019
𝑤1=0.530000	𝑤2=0.470000	𝑧=1.232910
𝑤1=0.540000	𝑤2=0.460000	𝑧=1.235803
𝑤1=0.550000	𝑤2=0.450000	𝑧=1.238699
𝑤1=0.560000	𝑤2=0.440000	𝑧=1.241599
𝑤1=0.570000	𝑤2=0.430000	𝑧=1.244501
𝑤1=0.580000	𝑤2=0.420000	𝑧=1.247406
𝑤1=0.590000	𝑤2=0.410000	𝑧=1.250314
𝑤1=0.600000	𝑤2=0.400000	𝑧=1.253225
𝑤1=0.610000	𝑤2=0.390000	𝑧=1.256140
𝑤1=0.620000	𝑤2=0.380000	𝑧=1.259057
𝑤1=0.630000	𝑤2=0.370000	𝑧=1.261977
𝑤1=0.640000	𝑤2=0.360000	𝑧=1.264900
𝑤1=0.650000	𝑤2=0.350000	𝑧=1.267826
𝑤1=0.660000	𝑤2=0.340000	𝑧=1.270755
𝑤1=0.670000	𝑤2=0.330000	𝑧=1.273687
𝑤1=0.680000	𝑤2=0.320000	𝑧=1.276622
𝑤1=0.690000	𝑤2=0.310000	𝑧=1.279560
𝑤1=0.700000	𝑤2=0.300000	𝑧=1.282501
𝑤1=0.710000	𝑤2=0.290000	𝑧=1.285445
𝑤1=0.720000	𝑤2=0.280000	𝑧=1.288392
𝑤1=0.730000	𝑤2=0.270000	𝑧=1.291341
𝑤1=0.740000	𝑤2=0.260000	𝑧=1.294294
𝑤1=0.750000	𝑤2=0.250000	𝑧=1.297250
𝑤1=0.760000	𝑤2=0.240000	𝑧=1.300209
𝑤1=0.770000	𝑤2=0.230000	𝑧=1.303170
𝑤1=0.780000	𝑤2=0.220000	𝑧=1.306135
𝑤1=0.790000	𝑤2=0.210000	𝑧=1.309103
𝑤1=0.800000	𝑤2=0.200000	𝑧=1.312074
𝑤1=0.810000	𝑤2=0.190000	𝑧=1.315047
𝑤1=0.820000	𝑤2=0.180000	𝑧=1.318024
𝑤1=0.830000	𝑤2=0.170000	𝑧=1.321003
𝑤1=0.840000	𝑤2=0.160000	𝑧=1.323986
𝑤1=0.850000	𝑤2=0.150000	𝑧=1.326971
𝑤1=0.860000	𝑤2=0.140000	𝑧=1.329960
𝑤1=0.870000	𝑤2=0.130000	𝑧=1.332951
𝑤1=0.880000	𝑤2=0.120000	𝑧=1.335946
𝑤1=0.890000	𝑤2=0.110000	𝑧=1.338943
𝑤1=0.900000	𝑤2=0.100000	𝑧=1.341944
𝑤1=0.910000	𝑤2=0.090000	𝑧=1.344947
𝑤1=0.920000	𝑤2=0.080000	𝑧=1.347953
𝑤1=0.930000	𝑤2=0.070000	𝑧=1.350963
𝑤1=0.940000	𝑤2=0.060000	𝑧=1.353975
𝑤1=0.950000	𝑤2=0.050000	𝑧=1.356990
𝑤1=0.960000	𝑤2=0.040000	𝑧=1.360008
𝑤1=0.970000	𝑤2=0.030000	𝑧=1.363030
𝑤1=0.980000	𝑤2=0.020000	𝑧=1.366054
𝑤1=0.990000	𝑤2=0.010000	𝑧=1.369081
𝑤1=1.000000	𝑤2=0.000000	𝑧=1.372111