CVaR minimization by the SRA algorithm

DOI10.1007/S10100-011-0194-7zbMath1339.91134OpenAlexW1999170897MaRDI QIDQ300852

Kolos C. Ágoston

Publication date: 29 June 2016

Published in: CEJOR. Central European Journal of Operations Research (Search for Journal in Brave)

Full work available at URL: http://unipub.lib.uni-corvinus.hu/315/1/cvar_sra_2011_feb_21.pdf

zbMATH Keywords

stochastic programmingrisk measurenumerical optimizationCVaR

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Numerical mathematical programming methods (65K05) Stochastic programming (90C15) Approximation methods and heuristics in mathematical programming (90C59) Portfolio theory (91G10)

Related Items (5)

Risk management in portfolio applications of non-convex stochastic programming ⋮ Portfolio performance measurement using differential evolution ⋮ Empirical distribution of daily stock returns of selected developing and emerging markets with application to financial risk management ⋮ Bilevel cutting-plane algorithm for cardinality-constrained mean-CVaR portfolio optimization ⋮ Cutting plane algorithms for mean-CVaR portfolio optimization with nonconvex transaction costs

Cites Work

• Computational aspects of minimizing conditional value-at-risk
• Monte Carlo bounding techniques for determinig solution quality in stochastic programs
• Two-stage stochastic problems with correlated normal variables: computational experiences
• Coherent Measures of Risk
• Credit risk optimization with conditional Value-at-Risk criterion
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