Monte Carlo methods for mean-risk optimization and portfolio selection

DOI10.1007/s10287-010-0123-6zbMath1273.91459OpenAlexW2046129952MaRDI QIDQ373169

Huifu Xu, Da-Li Zhang

Publication date: 21 October 2013

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://eprints.soton.ac.uk/151699/1/risk-8-Mar-2010.pdf

zbMATH Keywords

exponential convergencevariance minimizationrisk managementsample average approximation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic programming (90C15) Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items (5)

On relations between chance constrained and penalty function problems under discrete distributions ⋮ Convergence analysis of stationary points in sample average approximation of stochastic programs with second order stochastic dominance constraints ⋮ A review on ambiguity in stochastic portfolio optimization ⋮ Sparse Markowitz portfolio selection by using stochastic linear complementarity approach ⋮ On Monte-Carlo methods in convex stochastic optimization

Uses Software

• SUTIL

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Sample average approximation of expected value constrained stochastic programs
• Uniform exponential convergence of sample average random functions under general sampling with applications in stochastic programming
• Asymptotic analysis of stochastic programs
• A note on the existence of progressive tax structures
• Risk sensitive asset management with transaction costs
• Portfolio construction based on stochastic dominance and target return distributions
• Coherent Measures of Risk
• Necessary Optimality Conditions for Two-Stage Stochastic Programs with Equilibrium Constraints
• OPTIMAL PORTFOLIO MANAGEMENT WITH FIXED TRANSACTION COSTS
• Stochastic mathematical programs with equilibrium constraints, modelling and sample average approximation
• On Rates of Convergence for Stochastic Optimization Problems Under Non–Independent and Identically Distributed Sampling
• Constraint Qualifications and Necessary Optimality Conditions for Optimization Problems with Variational Inequality Constraints
• Analysis of Sample-Path Optimization
• Mean-risk models using two risk measures: a multi-objective approach
• Convergence properties of two-stage stochastic programming

This page was built for publication: Monte Carlo methods for mean-risk optimization and portfolio selection