Multiperiod portfolio investment using stochastic programming with conditional value at risk

DOI10.1016/j.cor.2016.11.011zbMath1391.90440OpenAlexW2556742204WikidataQ56524240 ScholiaQ56524240MaRDI QIDQ1652255

Chang-Biau Yang, Hung-Hsin Chen

Publication date: 11 July 2018

Published in: Computers \& Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cor.2016.11.011

zbMATH Keywords

stochastic programmingconditional value at riskmoment matchingmultiperiod portfolio investmentsuperior predictive ability

Mathematics Subject Classification ID

Stochastic programming (90C15) Approximation methods and heuristics in mathematical programming (90C59) Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items (6)

Portfolio optimization for inventory financing: copula-based approaches ⋮ An omega portfolio model with dynamic return thresholds ⋮ A New Scenario Reduction Method Based on Higher-Order Moments ⋮ Two-stage international portfolio models with higher moment risk measures ⋮ Realized performance of robust portfolios: worst-case Omega vs. CVaR-related models ⋮ Multi-stage distributionally robust optimization with risk aversion

Uses Software

• Pyomo

Cites Work

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