Numerical methods for lambda quantiles: robust evaluation and portfolio optimization
The paper provides a rigorous framework for evaluating lambda quantiles, which generalize the classical value at risk (VaR) by accommodating variable confidence levels. The authors introduce the novel \(\Lambda \)-Newton-Bis algorithm, a globally convergent method that effectively merges the rapid local quadratic convergence of Newton's method with the robustness of a bisection strategy. To address the intricate numerical challenges associated with multiple roots and potential discontinuities, the study successfully incorporates an alternative interval analysis approach. Furthermore, the practical financial utility of the proposed methodology is demonstrated through two distinct solution techniques designed for complex portfolio optimization frameworks. Ultimately, the rigorous numerical experiments presented confirm the superior computational efficiency and stability of their algorithms, making this work a highly valuable contribution to the field of risk management and computational finance.
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- scientific article; zbMATH DE number 3956233 (Why is no real title available?)
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- scientific article; zbMATH DE number 3067835 (Why is no real title available?)
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