Portfolio optimization with a copula-based extension of conditional value-at-risk

DOI10.1007/s10479-014-1625-3zbMath1341.91125OpenAlexW2001414341WikidataQ59473177 ScholiaQ59473177MaRDI QIDQ286012

Adam Krzemienowski, Sylwia Szymczyk

Publication date: 19 May 2016

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-014-1625-3

zbMATH Keywords

portfolio optimizationcolumn generation algorithmmultivariate risk measuresquantile risk measures

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Related Items (10)

A new efficiently encoded multiobjective algorithm for the solution of the cardinality constrained portfolio optimization problem ⋮ A generalized error distribution copula-based method for portfolios risk assessment ⋮ Portfolio selection based on semivariance and distance correlation under minimum variance framework ⋮ Copula-based estimation of value at risk for the portfolio problem ⋮ Most unfavorable deductibles and coverage limits for multiple random risks with Archimedean copulas ⋮ Efficiency evaluation of fuzzy portfolio in different risk measures via DEA ⋮ A hybrid FA-SA algorithm for fuzzy portfolio selection with transaction costs ⋮ Improving the performance of evolutionary algorithms: a new approach utilizing information from the evolutionary process and its application to the fuzzy portfolio optimization problem ⋮ Analysis of long-term natural gas contracts with vine copulas in optimization portfolio problems ⋮ Multi-criteria decision making for choosing socially responsible investment within a behavioral portfolio theory framework: a new way of investing into a crisis environment

Cites Work

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• On solving the dual for portfolio selection by optimizing conditional value at risk
• Multivariate value at risk and related topics
• Coherent Measures of Risk
• The Decomposition Algorithm for Linear Programs
• LP solvable models for portfolio optimization: a classification and computational comparison
• Dual Stochastic Dominance and Related Mean-Risk Models
• Credit risk optimization with conditional Value-at-Risk criterion

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