Portfolio optimization by minimizing conditional value-at-risk via nondifferentiable optimization
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Cites work
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Cited in
(36)- Risk-sensitive portfolio optimization problems with general nonnegative factor models
- Portfolio optimization with entropic value-at-risk
- Discrete conditional-expectation-based simulation optimization: methodology and applications
- Is being ``robust beneficial? A perspective from the Indian market
- Bilevel cutting-plane algorithm for cardinality-constrained mean-CVaR portfolio optimization
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- Non-smooth optimization methods for computation of the Conditional Value-at-risk and portfolio optimization
- A scenario decomposition algorithm for stochastic programming problems with a class of downside risk measures
- Asymptotic behavior of the estimated weights and of the estimated performance measures of the minimum VaR and the minimum CVaR optimal portfolios for dependent data
- On solving the dual for portfolio selection by optimizing conditional value at risk
- Robust decisions under risk for imprecise probabilities
- Open-pit mining with uncertainty: a conditional value-at-risk approach
- A primal-dual aggregation algorithm for minimizing conditional value-at-risk in linear programs
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- Computational aspects of minimizing conditional value-at-risk
- On efficient WOWA optimization for decision support under risk
- A smoothing method for solving portfolio optimization with CVaR and applications in allocation of generation asset
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