Non-smooth optimization methods for computation of the Conditional Value-at-risk and portfolio optimization

DOI10.1080/02331930600816353zbMath1134.90546OpenAlexW2045946692MaRDI QIDQ3426227

Gleb Beliakov, Adil M. Bagirov

Publication date: 8 March 2007

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331930600816353

zbMATH Keywords

portfolio optimizationnumerical optimizationexpected shortfallnon-smooth optimizationconditional value-at-risk

Mathematics Subject Classification ID

Derivative-free methods and methods using generalized derivatives (90C56) Portfolio theory (91G10)

Related Items (6)

Duality for fractional interval-valued optimization problem via convexificator ⋮ Bilevel cutting-plane algorithm for cardinality-constrained mean-CVaR portfolio optimization ⋮ Portfolio optimization with entropic value-at-risk ⋮ A smoothing method for solving portfolio optimization with CVaR and applications in allocation of generation asset ⋮ A differential inclusion-based approach for solving nonsmooth convex optimization problems ⋮ Cutting plane algorithms for mean-CVaR portfolio optimization with nonconvex transaction costs

Uses Software

• ASYNPLEX

Cites Work

• ASYNPLEX, an asynchronous parallel revised simplex algorithm
• Hyperbolic distributions in finance
• Convex risk measures for portfolio optimization and concepts of flexibility
• Coherent Measures of Risk
• Finding the nearest point in A polytope
• COMPARATIVE ANALYSES OF EXPECTED SHORTFALL AND VALUE-AT-RISK(Special Issue on Theory, Methodology and Applications in Financial Engneering)
• A Method for Minimization of Quasidifferentiable Functions

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