Portfolio optimization by minimizing conditional value-at-risk via nondifferentiable optimization
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DOI: 10.1007/s10589-008-9196-3
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Cited by:
- Mohammed Bilal Girach & Shashank Oberoi & Siddhartha P. Chakrabarty, 2021. "Is Being “Robust” Beneficial? A Perspective from the Indian Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 28(4), pages 469-497, December.
- Chang, Kuo-Hao & Cuckler, Robert & Lee, Song-Lin & Lee, Loo Hay, 2022. "Discrete conditional-expectation-based simulation optimization: Methodology and applications," European Journal of Operational Research, Elsevier, vol. 298(1), pages 213-228.
- Daniel Espinoza & Eduardo Moreno, 2014. "A primal-dual aggregation algorithm for minimizing conditional value-at-risk in linear programs," Computational Optimization and Applications, Springer, vol. 59(3), pages 617-638, December.
- L. Jeff Hong & Zhaolin Hu & Liwei Zhang, 2014. "Conditional Value-at-Risk Approximation to Value-at-Risk Constrained Programs: A Remedy via Monte Carlo," INFORMS Journal on Computing, INFORMS, vol. 26(2), pages 385-400, May.
- Vikram Krishnamurthy & Sujay Bhatt, 2015. "Sequential Detection of Market shocks using Risk-averse Agent Based Models," Papers 1511.01965, arXiv.org.
- Taras Bodnar & Wolfgang Schmid & Taras Zabolotskyy, 2013. "Asymptotic behavior of the estimated weights and of the estimated performance measures of the minimum VaR and the minimum CVaR optimal portfolios for dependent data," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 76(8), pages 1105-1134, November.
- Amir Ahmadi-Javid & Malihe Fallah-Tafti, 2017. "Portfolio Optimization with Entropic Value-at-Risk," Papers 1708.05713, arXiv.org.
- Ken Kobayashi & Yuichi Takano & Kazuhide Nakata, 2021. "Bilevel cutting-plane algorithm for cardinality-constrained mean-CVaR portfolio optimization," Journal of Global Optimization, Springer, vol. 81(2), pages 493-528, October.
- Maciej Rysz & Alexander Vinel & Pavlo Krokhmal & Eduardo L. Pasiliao, 2015. "A Scenario Decomposition Algorithm for Stochastic Programming Problems with a Class of Downside Risk Measures," INFORMS Journal on Computing, INFORMS, vol. 27(2), pages 416-430, May.
- Ahmadi-Javid, Amir & Fallah-Tafti, Malihe, 2019. "Portfolio optimization with entropic value-at-risk," European Journal of Operational Research, Elsevier, vol. 279(1), pages 225-241.
- Mohammed Bilal Girach & Shashank Oberoi & Siddhartha P. Chakrabarty, 2019. "Is being `Robust' beneficial?: A perspective from the Indian market," Papers 1908.05002, arXiv.org.
- E. G. Birgin & J. M. Martínez, 2016. "On the application of an Augmented Lagrangian algorithm to some portfolio problems," EURO Journal on Computational Optimization, Springer;EURO - The Association of European Operational Research Societies, vol. 4(1), pages 79-92, February.
- Zhang Qingye & Gao Yan, 2017. "An Asset Allocation Model and Its Solving Method," Journal of Systems Science and Information, De Gruyter, vol. 5(2), pages 163-175, April.
- Mansini, Renata & Ogryczak, Wlodzimierz & Speranza, M. Grazia, 2014. "Twenty years of linear programming based portfolio optimization," European Journal of Operational Research, Elsevier, vol. 234(2), pages 518-535.
- Seixas, Mário & Barbosa, António, 2019. "Optimal Value-at-Risk Disclosure," MPRA Paper 97526, University Library of Munich, Germany.
- Massimiliano Kaucic & Mojtaba Moradi & Mohmmad Mirzazadeh, 2019. "Portfolio optimization by improved NSGA-II and SPEA 2 based on different risk measures," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 5(1), pages 1-28, December.
- Foad Mahdavi Pajouh & Esmaeel Moradi & Balabhaskar Balasundaram, 2017. "Detecting large risk-averse 2-clubs in graphs with random edge failures," Annals of Operations Research, Springer, vol. 249(1), pages 55-73, February.
- Bodnar Taras & Schmid Wolfgang & Zabolotskyy Tara, 2012. "Minimum VaR and minimum CVaR optimal portfolios: Estimators, confidence regions, and tests," Statistics & Risk Modeling, De Gruyter, vol. 29(4), pages 281-314, November.
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Keywords
Portfolio optimization; CVaR; Nondifferentiable optimization;All these keywords.
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