CVaR robust mean-CVaR portfolio optimization model and the solving methods

DOI10.15960/J.CNKI.ISSN.1007-6093.2017.01.001MaRDI QIDQ5371804zbMATH OpenFDO

Authors Zhilin Kang, Zhongfei Li

Publication date 20 October 2017

Full work available at URL https://doi.org/10.15960/J.CNKI.ISSN.1007-6093.2017.01.001

zbMATH Keywords

dual methodportfolio selectionresamplingsmoothing method

Mathematics Subject Classification ID

Nonconvex programming, global optimization (90C26) Portfolio theory (91G10) Statistical methods; risk measures (91G70)

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(14)

• Robust optimization of mixed CVaR STARR ratio using copulas
• Mean-variance-CVaR model of multiportfolio optimization via linear weighted sum method
• Kernel density estimation based distributionally robust mean-CVaR portfolio optimization
• Bilevel cutting-plane algorithm for cardinality-constrained mean-CVaR portfolio optimization
• Fast gradient descent method for mean-CVaR optimization
• A bond portfolio optimization model based on CVaR and the numerical methods
• Portfolio optimization model based on conditional value-at-risk
• scientific article; zbMATH DE number 7295427 (Why is no real title available?)
• Mean-CVaR portfolio selection: a nonparametric estimation framework
• Non-smooth optimization methods for computation of the Conditional Value-at-risk and portfolio optimization
• CVaR robust mean-CVaR portfolio optimization
• Robust conditional value-at-risk optimization for asymmetrically distributed asset returns
• Mean-risk models using two risk measures: a multi-objective approach
• A smoothing method for solving portfolio optimization with CVaR and applications in allocation of generation asset

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