Portfolio optimization with a copula-based extension of conditional value-at-risk

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Cites work

Coherent measures of risk
Credit risk optimization with conditional Value-at-Risk criterion
Dual Stochastic Dominance and Related Mean-Risk Models
LP solvable models for portfolio optimization: a classification and computational comparison
Multivariate value at risk and related topics
On solving the dual for portfolio selection by optimizing conditional value at risk
Some remarks on the value-at-risk and the conditional value-at-risk
The Decomposition Algorithm for Linear Programs

Cited in

(30)

Risk preference modeling with conditional average: An application to portfolio optimization
A new efficiently encoded multiobjective algorithm for the solution of the cardinality constrained portfolio optimization problem
Robust optimization of mixed CVaR STARR ratio using copulas
Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas
Most unfavorable deductibles and coverage limits for multiple random risks with Archimedean copulas
Efficiency evaluation of fuzzy portfolio in different risk measures via DEA
A hybrid FA-SA algorithm for fuzzy portfolio selection with transaction costs
Improving the performance of evolutionary algorithms: a new approach utilizing information from the evolutionary process and its application to the fuzzy portfolio optimization problem
Analysis of long-term natural gas contracts with vine copulas in optimization portfolio problems
Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios
A generalized error distribution copula-based method for portfolios risk assessment
Calculating CVaR and bPOE for common probability distributions with application to portfolio optimization and density estimation
Multistage optimization of option portfolio using higher order coherent risk measures
Robust portfolio optimization with copulas
Portfolio optimization for inventory financing: copula-based approaches
Analysis of portfolio CVaR based on pair-copula scenario generation and the constraint of generalized entropy
Numerical comparison of conditional value-at-risk and conditional drawdown-at-risk approaches: application to hedge funds
Application of Copula and Copula-CVaR in the Multivariate Portfolio Optimization
On Conditional Value-at-Risk Based Goal Programming Portfolio Selection Procedure
Portfolio selection with commodities under conditional copulas and skew preferences
A multivariate CVaR risk measure from the perspective of portfolio risk management
Portfolio optimization of stock returns in high-dimensions: a copula-based approach
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 study of a dynamic portfolio selection model based on a complex copula function
Credit risk optimization with conditional Value-at-Risk criterion
Portfolio selection based on semivariance and distance correlation under minimum variance framework
Copula-based estimation of value at risk for the portfolio problem
Constructing copulas using corrected Hermite polynomial expansion for estimating cross foreign exchange volatility
Distributionally robust portfolio optimization under marginal and copula ambiguity
Joint chance-constrained survivable capacitated multi-commodity network design problem with demand uncertainty

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