CVaR minimization by the SRA algorithm

DOI10.1007/S10100-011-0194-7MaRDI QIDQ300852zbMATH OpenOpenAlexFDO

Authors Kolos C. Ágoston

Publication date 29 June 2016

Published in CEJOR. Central European Journal of Operations Research (Search for Journal in Brave)

Full work available at URL http://unipub.lib.uni-corvinus.hu/315/1/cvar_sra_2011_feb_21.pdf

zbMATH Keywords

numerical optimizationstochastic programmingrisk measureCVaR

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Approximation methods and heuristics in mathematical programming (90C59) Statistical methods; risk measures (91G70) Portfolio theory (91G10) Stochastic programming (90C15)

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Cites work

• scientific article; zbMATH DE number 1724440 (Why is no real title available?)
• scientific article; zbMATH DE number 1960272 (Why is no real title available?)
• Coherent measures of risk
• Computational aspects of minimizing conditional value-at-risk
• Credit risk optimization with conditional Value-at-Risk criterion
• Monte Carlo bounding techniques for determinig solution quality in stochastic programs
• Solving stochastic programming problems by successive regression approximations -- numerical results
• Some remarks on the value-at-risk and the conditional value-at-risk
• Two-stage stochastic problems with correlated normal variables: computational experiences

Cited in

(7)

• Computational aspects of minimizing conditional 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
• VaR as the CVaR sensitivity: applications in risk optimization
• Portfolio performance measurement using differential evolution
• Empirical distribution of daily stock returns of selected developing and emerging markets with application to financial risk management
• Risk management in portfolio applications of non-convex stochastic programming

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