Modeling and solving portfolio selection problems based on PVaR

DOI10.1080/14697688.2020.1819552MaRDI QIDQ4957247zbMATH OpenOpenAlexFDO

Authors

Publication date 3 September 2021

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2020.1819552

zbMATH Keywords

period value at riskportfolio optimization modelportfolio selection problem

Mathematics Subject Classification ID

Portfolio theory (91G10) Financial markets (91G15) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• 60 years of portfolio optimization: practical challenges and current trends
• A mean-absolute deviation-skewness portfolio optimization model
• Economic implications of using a mean-VaR model for portfolio selection: a comparison with mean-variance analysis.
• Expected shortfall and beyond
• Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
• Mean-Variance portfolio optimization when each asset has individual uncertain exit-time
• Mean‐Semivariance Efficient Frontier: A Downside Risk Model for Portfolio Selection
• Optimal dynamic portfolio selection: multiperiod mean-variance formulation
• Optimal Investment and Consumption Strategies Under Risk, an Uncertain Lifetime, and Insurance
• Optimal investment decisions when time-horizon is uncertain
• Optimum consumption and portfolio rules in a continuous-time model
• Portfolio selection with uncertain exit time: a robust CVaR approach

Cited in

(5)

• A cutting plane algorithm for MV portfolio selection model
• A PROMETHEE-based approach to portfolio selection problems
• VNS approach for solving a financial portfolio design problem
• PVaR: a new risk measure for financial investments
• Portfolio selection with uncertain exit time: a robust CVaR approach

Describes a project that uses

Uses Software

• Dowd
• RiskMetrics

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