CEREN, TUNCER ŞAKAR; KÖKSALAN, MURAT - In: International Journal of Information Technology & … 13 (2014) 01, pp. 77-99
We study the effects of considering different criteria simultaneously on portfolio optimization. Using a single-period optimization setting, we use various combinations of expected return, variance, liquidity and Conditional Value at Risk criteria. With stocks from Borsa Istanbul, we make...