Risk management in portfolio applications of non-convex stochastic programming

DOI10.1016/j.amc.2015.02.031zbMath1338.91135OpenAlexW2043740247MaRDI QIDQ300194

Jin-He Wang, Li-Ping Pang, Shuang Chen

Publication date: 23 June 2016

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2015.02.031

zbMATH Keywords

portfoliobundle methodsrisk managementnon-convex stochastic programming

Mathematics Subject Classification ID

Stochastic programming (90C15) Portfolio theory (91G10)

Related Items (1)

A dynamic spare parts ordering and pricing policy based on stochastic programming with multi-choice parameters

Uses Software

• PLCP

Cites Work

• Unnamed Item
• CVaR minimization by the SRA algorithm
• Handling CVaR objectives and constraints in two-stage stochastic models
• Portfolio selection under distributional uncertainty: a relative robust CVaR approach
• Stochastic methods based on Newton method to the stochastic variational inequality problem with constraint conditions
• Coherent Measures of Risk
• SAMPLE AVERAGE APPROXIMATION METHODS FOR A CLASS OF STOCHASTIC VARIATIONAL INEQUALITY PROBLEMS
• Extreme Value Theory as a Risk Management Tool
• Numerical optimization. Theoretical and practical aspects. Transl. from the French
• Credit risk optimization with conditional Value-at-Risk criterion

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