Journal
NATURAL RESOURCES AND SUSTAINABLE DEVELOPMENT II, PTS 1-4
Volume 524-527, Issue -, Pages 3828-+Publisher
TRANS TECH PUBLICATIONS LTD
DOI: 10.4028/www.scientific.net/AMR.524-527.3828
Keywords
CVaR; maximum loss minimization; loss gap
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With the application of the pessimistic decision-making method, we make our portfolio selection with the objective of maximum loss minimization. First, we develop a maximum ordinary loss minimization model and then we form a maximum mean excess loss minimization model on the basis of the CVaR risk measurement. On the basis of the two models, we put forward a new concept loss gap and define it. Last, we establish a maximum loss gap minimization model and discuss the relationship between it and the MV model.
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