A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem
From MaRDI portal
Publication:2432914
DOI10.1016/j.ejor.2005.07.020zbMath1137.91426MaRDI QIDQ2432914
Publication date: 25 October 2006
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2005.07.020
90C11: Mixed integer programming
Related Items
Dynamic mean–VaR portfolio selection in continuous time, A smooth non-parametric estimation framework for safety-first portfolio optimization, Portfolio Optimization with Nonparametric Value at Risk: A Block Coordinate Descent Method, Downside Risk Approach for Multi-Objective Portfolio Optimization, Conditional value-at-risk: structure and complexity of equilibria, Mean-variance-VaR portfolios: MIQP formulation and performance analysis, Model and efficient algorithm for the portfolio selection problem with real‐world constraints under value‐at‐risk measure, Holistic fleet optimization incorporating system design considerations, Portfolio optimization through a network approach: network assortative mixing and portfolio diversification, $$\mathcal {NP}$$-Hardness of Equilibria in Case of Risk-Averse Players, New reformulations for probabilistically constrained quadratic programs, Multi-objective portfolio optimization considering the dependence structure of asset returns, A linearized value-at-risk model with transaction costs and short selling, R\&D pipeline management: task interdependencies and risk management, Minimizing loss probability bounds for portfolio selection, On reducing a quantile optimization problem with discrete distribution to a mixed integer programming problem, Portfolio optimization with \(pw\)-robustness, Heuristic methods for the optimal statistic median problem, Comments on ``A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem, \(\alpha \)-conservative approximation for probabilistically constrained convex programs, Risk management strategies via minimax portfolio optimization, Risk-hedging in real estate markets, Risk-budgeting multi-portfolio optimization with portfolio and marginal risk constraints, Multi-criteria optimal stopping methods applied to the portfolio optimisation problem, On the convergence of sample approximations for stochastic programming problems with probabilistic criteria, Convergence conditions for the observed mean method in stochastic programming, Mean-VaR portfolio optimization: a nonparametric approach, Computing near-optimal value-at-risk portfolios using integer programming techniques, Quadratic convex reformulation for quadratic programming with linear on-off constraints, Hybrid adaptive large neighborhood search for the optimal statistic median problem, Lagrangian decomposition and mixed-integer quadratic programming reformulations for probabilistically constrained quadratic programs, A mispricing model of stocks under asymmetric information, Value-at-risk optimization using the difference of convex algorithm, Portfolio selection of uncertain random returns based on value at risk, Solving mean-VaR portfolio selection model with interval-typed random parameter using interval analysis, A relative robust approach on expected returns with bounded CVaR for portfolio selection, The optimal statistical median of a convex set of arrays, Variable neighborhood search for a two-stage stochastic programming problem with a quantile criterion, Clustering and portfolio selection problems: a unified framework, A novel multi period mean-VaR portfolio optimization model considering practical constraints and transaction cost, Adjusted robust mean-value-at-risk model: less conservative robust portfolios, Data-driven portfolio management with quantile constraints, Empirical tail risk management with model-based annealing random search, AN IMPROVED CONVEX 0-1 QUADRATIC PROGRAM REFORMULATION FOR CHANCE-CONSTRAINED QUADRATIC KNAPSACK PROBLEMS, A difference of convex formulation of value-at-risk constrained optimization
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Optimal portfolio selection and dynamic benchmark tracking
- The optimal portfolio problem with coherent risk measure constraints.
- The computation of the worst conditional expectation.
- Coherent Measures of Risk
- A Minimax Portfolio Selection Rule with Linear Programming Solution
- PIECEWISE LINEAR RISK FUNCTION AND PORTFOLIO OPTIMIZATION
- Computational Geometry in C
- Stochastic Dedication: Designing Fixed Income Portfolios Using Massively Parallel Benders Decomposition
- LP solvable models for portfolio optimization: a classification and computational comparison
- Reducibility among Combinatorial Problems
- Safety First and the Holding of Assets
- Portfolio optimization problem under concave transaction costs and minimal transaction unit constraints
- Credit risk optimization with conditional Value-at-Risk criterion