Yuling Tan

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This paper proposed the optimal portfolio model maximizing returns and minimizing the risk expressed as CvaR under the assumption that the portfolio return subjects to heavy tail. With linear weighted sum method, we solved the multi-objectives model, and compared the model results to the case under the assumption of normal distribution portfolio return,(More)
This Dissertation is brought to you for free and open access by the Theses and Dissertations at Loyola eCommons. It has been accepted for inclusion in Dissertations by an authorized administrator of Loyola eCommons. For more information, please contact ecommons@luc.edu. ACKNOWLEDGEMENT First and foremost, I would like to express my utmost gratitude to my(More)
This paper proposed the optimal fund investment portfolio model maximizing both expected return and skewness as well as minimizing the variance. We use fuzzy mathematics method to solve the multi-objectives model, and a numerical example of Chinese fund market is used to illustrate that the method can be efficiently used in practice.
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