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Mean-VaR portfolio optimization: A nonparametric approach

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Cited by:

  1. Lorimer, Douglas Austen & van Schalkwyk, Cornelis Hendrik & Szczygielski, Jan Jakub, 2024. "Portfolio optimisation using alternative risk measures," Finance Research Letters, Elsevier, vol. 67(PA).
  2. Zhang, Dongna & Dai, Xingyu & Xue, Jianhao, 2024. "Incorporating weather information into commodity portfolio optimization," Finance Research Letters, Elsevier, vol. 66(C).
  3. Marah-Lisanne Thormann & Phan Tu Vuong & Alain B. Zemkoho, 2024. "The Boosted Difference of Convex Functions Algorithm for Value-at-Risk Constrained Portfolio Optimization," Papers 2402.09194, arXiv.org.
  4. Naomi Pandiangan & Sukono Sukono & Endang Soeryana Hasbullah, 2021. "Quadratic Investment Portfolio Based on Value-at-risk with Risk-Free Assets: For Stocks of the Mining and Energy Sector," International Journal of Energy Economics and Policy, Econjournals, vol. 11(4), pages 175-184.
  5. Alexander, Carol & Han, Yang & Meng, Xiaochun, 2023. "Static and dynamic models for multivariate distribution forecasts: Proper scoring rule tests of factor-quantile versus multivariate GARCH models," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1078-1096.
  6. Christos Konstantinou & Alexandros Tzanetos & Georgios Dounias, 2022. "Cardinality constrained portfolio optimization with a hybrid scheme combining a Genetic Algorithm and Sonar Inspired Optimization," Operational Research, Springer, vol. 22(3), pages 2465-2487, July.
  7. Shivam Gupta & Sachin Modgil & Samadrita Bhattacharyya & Indranil Bose, 2022. "Artificial intelligence for decision support systems in the field of operations research: review and future scope of research," Annals of Operations Research, Springer, vol. 308(1), pages 215-274, January.
  8. Anlan Wang & Aleš Kresta & Tomáš Tichý, 2024. "Evaluation of strategy portfolios," Computational Management Science, Springer, vol. 21(1), pages 1-27, June.
  9. Subhojit Biswas & Diganta Mukherjee, 2019. "Discrete time portfolio optimisation managing value at risk under heavy tail return distribution," Papers 1908.03907, arXiv.org, revised Nov 2020.
  10. Lassance, Nathan, 2022. "Reconciling mean-variance portfolio theory with non-Gaussian returns," European Journal of Operational Research, Elsevier, vol. 297(2), pages 729-740.
  11. Strub, O. & Baumann, P., 2018. "Optimal construction and rebalancing of index-tracking portfolios," European Journal of Operational Research, Elsevier, vol. 264(1), pages 370-387.
  12. Fan, Qi & Tan, Ken Seng & Zhang, Jinggong, 2023. "Empirical tail risk management with model-based annealing random search," Insurance: Mathematics and Economics, Elsevier, vol. 110(C), pages 106-124.
  13. Pier Francesco Procacci & Tomaso Aste, 2021. "Portfolio Optimization with Sparse Multivariate Modelling," Papers 2103.15232, arXiv.org.
  14. Yajie Yang & Longfeng Zhao & Lin Chen & Chao Wang & Jihui Han, 2021. "Portfolio optimization with idiosyncratic and systemic risks for financial networks," Papers 2111.11286, arXiv.org.
  15. Alejandro Balbás & Beatriz Balbás & Raquel Balbás, 2022. "Pareto efficient buy and hold investment strategies under order book linked constraints," Annals of Operations Research, Springer, vol. 311(2), pages 945-965, April.
  16. Sun, Xuting & Chung, Sai-Ho & Choi, Tsan-Ming & Sheu, Jiuh-Biing & Ma, Hoi Lam, 2020. "Combating lead-time uncertainty in global supply chain's shipment-assignment: Is it wise to be risk-averse?," Transportation Research Part B: Methodological, Elsevier, vol. 138(C), pages 406-434.
  17. Yuyun Hidayat & Titi Purwandari & Sukono & Igif Gimin Prihanto & Rizki Apriva Hidayana & Riza Andrian Ibrahim, 2023. "Mean-Value-at-Risk Portfolio Optimization Based on Risk Tolerance Preferences and Asymmetric Volatility," Mathematics, MDPI, vol. 11(23), pages 1-26, November.
  18. Lv, Linjing & Zhang, Bo & Li, Hui, 2024. "An uncertain bi-objective mean-entropy model for portfolio selection with realistic factors," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 225(C), pages 216-231.
  19. P. Kumar & Jyotirmayee Behera & A. K. Bhurjee, 2022. "Solving mean-VaR portfolio selection model with interval-typed random parameter using interval analysis," OPSEARCH, Springer;Operational Research Society of India, vol. 59(1), pages 41-77, March.
  20. Mohamed Doukali & Xiaojun Song & Abderrahim Taamouti, 2024. "Value‐at‐Risk under Measurement Error," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 86(3), pages 690-713, June.
  21. JeongHoe Lee & Navid Sabbaghi, 2020. "Multi-objective optimization case study for algorithmic trading strategies in foreign exchange markets," Digital Finance, Springer, vol. 2(1), pages 15-37, September.
  22. Lassance, Nathan & Vrins, Frédéric, 2021. "Portfolio selection with parsimonious higher comoments estimation," Journal of Banking & Finance, Elsevier, vol. 126(C).
  23. Kirkby, J. Lars & Mitra, Sovan & Nguyen, Duy, 2020. "An analysis of dollar cost averaging and market timing investment strategies," European Journal of Operational Research, Elsevier, vol. 286(3), pages 1168-1186.
  24. Lassance, Nathan & Vrins, Frédéric, 2019. "Robust portfolio selection using sparse estimation of comoment tensors," LIDAM Discussion Papers LFIN 2019007, Université catholique de Louvain, Louvain Finance (LFIN).
  25. Nadège Ribau-Peltre & Pascal Damel & An Lethi, 2018. "A methodology to avoid over-diversification of funds of equity funds An implementation case study for equity funds of funds in bull markets," Post-Print hal-03027770, HAL.
  26. Tongyao Wang & Qitong Pan & Weiping Wu & Jianjun Gao & Ke Zhou, 2024. "Dynamic Mean–Variance Portfolio Optimization with Value-at-Risk Constraint in Continuous Time," Mathematics, MDPI, vol. 12(14), pages 1-17, July.
  27. D’Amico, Guglielmo & Petroni, Filippo, 2018. "Copula based multivariate semi-Markov models with applications in high-frequency finance," European Journal of Operational Research, Elsevier, vol. 267(2), pages 765-777.
  28. Sahamkhadam, Maziar & Stephan, Andreas & Östermark, Ralf, 2022. "Copula-based Black–Litterman portfolio optimization," European Journal of Operational Research, Elsevier, vol. 297(3), pages 1055-1070.
  29. Andrea C. Hupman & Jay Simon, 2023. "The Legacy of Peter Fishburn: Foundational Work and Lasting Impact," Decision Analysis, INFORMS, vol. 20(1), pages 1-15, March.
  30. Frank Schuhmacher & Hendrik Kohrs & Benjamin R. Auer, 2021. "Justifying Mean-Variance Portfolio Selection when Asset Returns Are Skewed," Management Science, INFORMS, vol. 67(12), pages 7812-7824, December.
  31. Gianni Filograsso & Giacomo Tollo, 2023. "Adaptive evolutionary algorithms for portfolio selection problems," Computational Management Science, Springer, vol. 20(1), pages 1-38, December.
  32. Zsurkis, Gabriel & Nicolau, João & Rodrigues, Paulo M.M., 2024. "First passage times in portfolio optimization: A novel nonparametric approach," European Journal of Operational Research, Elsevier, vol. 312(3), pages 1074-1085.
  33. Davide Lauria & W. Brent Lindquist & Stefan Mittnik & Svetlozar T. Rachev, 2022. "ESG-Valued Portfolio Optimization and Dynamic Asset Pricing," Papers 2206.02854, arXiv.org.
  34. Han Yang & Ming-hui Wang & Nan-jing Huang, 2021. "The $$\alpha$$ α -Tail Distance with an Application to Portfolio Optimization Under Different Market Conditions," Computational Economics, Springer;Society for Computational Economics, vol. 58(4), pages 1195-1224, December.
  35. Goel, Anubha & Sharma, Amita, 2020. "Mixed value-at-risk and its numerical investigation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 541(C).
  36. Francesco Cesarone & Manuel L. Martino & Fabio Tardella, 2023. "Mean-Variance-VaR portfolios: MIQP formulation and performance analysis," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 45(3), pages 1043-1069, September.
  37. Kresta Aleš & Wang Anlan, 2020. "Portfolio Optimization Efficiency Test Considering Data Snooping Bias," Business Systems Research, Sciendo, vol. 11(2), pages 73-85, October.
  38. Ignas Gasparaviv{c}ius & Andrius Grigutis, 2024. "The Famous American Economist H. Markowitz and Mathematical Overview of his Portfolio Selection Theory," Papers 2402.10253, arXiv.org.
  39. Ramesh Adhikari & Kyle J. Putnam & Humnath Panta, 2020. "Robust Optimization-Based Commodity Portfolio Performance," IJFS, MDPI, vol. 8(3), pages 1-16, September.
  40. Todor Stoilov & Krasimira Stoilova & Miroslav Vladimirov, 2021. "Explicit Value at Risk Goal Function in Bi-Level Portfolio Problem for Financial Sustainability," Sustainability, MDPI, vol. 13(4), pages 1-14, February.
  41. Výrost, Tomas & Lyócsa, Štefan & Baumöhl, Eduard, 2019. "Network-based asset allocation strategies," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 516-536.
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