INHALT
The aim of this work is to improve the efficiency and accuracy of decisions made by portfolio optimization models by integrating multi-criteria decision making (MCDM) into stochastic portfolio optimization. As part of the work, various risk measures (such as value-at-risk and conditional value-at-risk) are to be combined with several target criteria (such as return, risk and liquidity). A key objective is to develop a methodological extension of existing models that takes into account uncertainties and provides a sound basis for investment decisions. The work should also deepen the theoretical foundations of MCDM and stochastic optimization and evaluate their practical applicability in portfolio management. |
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