Multiobjective Mean-Risk Models for Optimization in Finance and Insurance

AbstractIn this paper we propose some models for solving optimization problems which arise in finance and insurance. First the general framework for Mean-Risk models is introduced. Then several approaches for multiobjective programming, such as Mean-Value-at-Risk and Mean-Conditional Value-at-Risk are used for building the model Mean-Value-at-Risk-Conditional Value-at-Risk using both Value-at-Risk and Conditional Value-at-Risk simultaneously for risk assessment. A two stage portfolio optimization model is developed, using Value-at-Risk and also Conditional Value-at-Risk measures in two stages separately