Portfolio Selection with Multiple Spectral Risk Constraints

DOI10.1137/140967635zbMath1315.91069arXiv1410.5328OpenAlexW3125937111MaRDI QIDQ5258454

Carlos Abad, Garud Iyengar

Publication date: 26 June 2015

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1410.5328

zbMATH Keywords

coherent risk measuresfirst-order algorithmslarge scale portfolio optimization

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Large-scale problems in mathematical programming (90C06) Applications of mathematical programming (90C90) Portfolio theory (91G10)

Uses Software

• Gurobi

Cites Work

• Smooth minimization of non-smooth functions
• A Fast Iterative Shrinkage-Thresholding Algorithm for Linear Inverse Problems
• Conditional value-at-risk in portfolio optimization: coherent but fragile
• Enhancing sparsity by reweighted \(\ell _{1}\) minimization
• Heuristics for cardinality constrained portfolio optimization
• Fast gradient descent method for mean-CVaR optimization
• Generalized deviations in risk analysis
• Convex risk measures for portfolio optimization and concepts of flexibility
• Coherent Measures of Risk
• Approximating Semidefinite Packing Programs
• A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
• Smoothing Techniques for Computing Nash Equilibria of Sequential Games

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