Portfolio optimization by minimizing conditional value-at-risk via nondifferentiable optimization

DOI10.1007/s10589-008-9196-3zbMath1200.91283OpenAlexW2079088014MaRDI QIDQ989841

Hanif D. Sherali, Churlzu Lim, Stan Uryasev

Publication date: 23 August 2010

Published in: Computational Optimization and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10589-008-9196-3

zbMATH Keywords

nondifferentiable optimizationportfolio optimizationCVaR

Mathematics Subject Classification ID

Derivative-free methods and methods using generalized derivatives (90C56) Linear programming (90C05) Portfolio theory (91G10)

Related Items (28)

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Uses Software

• CPLEX

Cites Work

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