Optimization of real asset portfolio using a coherent risk measure: Application to oil and energy industries

DOI10.1007/s11081-010-9127-xzbMath1218.91163OpenAlexW2108148537MaRDI QIDQ535718

Yong-Cai Geng, Sumit K. Garg

Publication date: 13 May 2011

Published in: Optimization and Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11081-010-9127-x

zbMATH Keywords

decomposition methodsportfolio optimizationCVaRreal assets

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74) Corporate finance (dividends, real options, etc.) (91G50) Portfolio theory (91G10)

Related Items (2)

Conditional value‐at‐risk beyond finance: a survey ⋮ Divide to conquer: decomposition methods for energy optimization

Uses Software

• PLCP
• SQPlab

Cites Work

• Coherent Measures of Risk
• Introduction to Stochastic Programming
• Inexact Cuts in Benders Decomposition

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