On Conditional Value-at-Risk Based Goal Programming Portfolio Selection Procedure

DOI10.1007/978-3-540-85646-7_23MaRDI QIDQ3649617zbMATH OpenOpenAlexFDO

Authors Bogumił Kamiński, Marcin Czupryna, Tomasz Szapiro

Publication date 4 December 2009

Published in Multiobjective Programming and Goal Programming (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-540-85646-7_23

zbMATH Keywords

portfolio selectionconditional value at riskgoal programming

Mathematics Subject Classification ID

Multi-objective and goal programming (90C29)

Recommendations

• Portfolio optimization model based on conditional value-at-risk
• Conditional value at risk and related linear programming models for portfolio optimization
• A bi-objective portfolio optimization with conditional value-at-risk
• On solving the dual for portfolio selection by optimizing conditional value at risk
• A Recourse Goal Programming Approach for the Portfolio Selection Problem
• scientific article; zbMATH DE number 6264081
• Portfolio optimization with a copula-based extension of conditional value-at-risk
• Multiperiod portfolio investment using stochastic programming with conditional value at risk
• Conditional value-at-risk in portfolio optimization: coherent but fragile
• scientific article; zbMATH DE number 5589677

Cites work

• scientific article; zbMATH DE number 5593018 (Why is no real title available?)
• A minimax portfolio selection rule with linear programming solution
• Risk Measures and Comonotonicity: A Review
• The Dual Theory of Choice under Risk
• The economics of risk and time

Cited in

(3)

• A multicriteria optimization model for sustainable forest management under climate change uncertainty: an application in Portugal
• Multi-criteria decision making for choosing socially responsible investment within a behavioral portfolio theory framework: a new way of investing into a crisis environment
• A Goal Programming Model with Satisfaction Function for Risk Management and Optimal Portfolio Diversification

This page was built for publication: On Conditional Value-at-Risk Based Goal Programming Portfolio Selection Procedure

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3649617)