CVaR robust mean-CVaR portfolio optimization

DOI10.1155/2013/570950MaRDI QIDQ469842zbMATH OpenOpenAlexWikidataFDO

Authors Farshid Mehrdoust, Farzaneh Piri, Maziar Salahi

Publication date 11 November 2014

Published in ISRN Applied Mathematics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 3.0 Unported

Full work available at URL https://doi.org/10.1155/2013/570950

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Recommendations

• CVaR robust mean-CVaR portfolio optimization model and the solving methods
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• Robust CVaR-based portfolio optimization under a genal affine data perturbation uncertainty set
• Robust portfolio optimization under hybrid CEV and stochastic volatility
• Robust international portfolio optimization with worst-case mean-CVaR
• Robust portfolio techniques for mitigating the fragility of CVaR minimization and generalization to coherent risk measures

Cites work

• Computing efficient frontiers using estimated parameters
• Robust asset allocation

Cited in

(12)

• Robust portfolio choice with CVaR and VaR under distribution and mean return ambiguity
• Robust optimization of mixed CVaR STARR ratio using copulas
• Kernel density estimation based distributionally robust mean-CVaR portfolio optimization
• CONIC CVA AND DVA FOR OPTION PORTFOLIOS
• Data-driven robust mean-CVaR portfolio selection under distribution ambiguity
• Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances
• CVaR robust mean-CVaR portfolio optimization model and the solving methods
• Mean-variance-CVaR model of multiportfolio optimization via linear weighted sum method
• Capital asset pricing model under distribution uncertainty
• Calculating CVaR and bPOE for common probability distributions with application to portfolio optimization and density estimation
• Tail risks in large portfolio selection: penalized quantile and expectile minimum deviation models
• Adjusted robust mean-value-at-risk model: less conservative robust portfolios

Describes a project that uses

Uses Software

• CVX

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