Non-smooth optimization methods for computation of the Conditional Value-at-risk and portfolio optimization

DOI10.1080/02331930600816353zbMath1134.90546MaRDI QIDQ3426227

Gleb Beliakov, Adil M. Bagirov

Publication date: 8 March 2007

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331930600816353

zbMATH Keywords

portfolio optimization; numerical optimization; expected shortfall; non-smooth optimization; conditional value-at-risk

Mathematics Subject Classification ID

90C56: Derivative-free methods and methods using generalized derivatives

91G10: Portfolio theory

Related Items

Duality for fractional interval-valued optimization problem via convexificator, A smoothing method for solving portfolio optimization with CVaR and applications in allocation of generation asset, Portfolio optimization with entropic value-at-risk, Bilevel cutting-plane algorithm for cardinality-constrained mean-CVaR portfolio optimization, Cutting plane algorithms for mean-CVaR portfolio optimization with nonconvex transaction costs, A differential inclusion-based approach for solving nonsmooth convex optimization problems

Uses Software

• ASYNPLEX

Cites Work

• ASYNPLEX, an asynchronous parallel revised simplex algorithm
• Hyperbolic distributions in finance
• Convex risk measures for portfolio optimization and concepts of flexibility
• Coherent Measures of Risk
• Finding the nearest point in A polytope
• COMPARATIVE ANALYSES OF EXPECTED SHORTFALL AND VALUE-AT-RISK(Special Issue on Theory, Methodology and Applications in Financial Engneering)
• A Method for Minimization of Quasidifferentiable Functions