Multiperiod portfolio investment using stochastic programming with conditional value at risk

DOI10.1016/J.COR.2016.11.011MaRDI QIDQ1652255zbMATH OpenOpenAlexDBLPWikidataFDO

Authors Hung-Hsin Chen, Chang-Biau Yang

Publication date 11 July 2018

Published in Computers \& Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cor.2016.11.011

zbMATH Keywords

stochastic programmingconditional value at riskmoment matchingmultiperiod portfolio investmentsuperior predictive ability

Mathematics Subject Classification ID

Approximation methods and heuristics in mathematical programming (90C59) Portfolio theory (91G10) Stochastic programming (90C15) Financial applications of other theories (91G80)

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Cited in

(8)

• Realized performance of robust portfolios: worst-case Omega vs. CVaR-related models
• A New Scenario Reduction Method Based on Higher-Order Moments
• Two-stage international portfolio models with higher moment risk measures
• Multi-stage distributionally robust optimization with risk aversion
• An omega portfolio model with dynamic return thresholds
• On Conditional Value-at-Risk Based Goal Programming Portfolio Selection Procedure
• Portfolio optimization for inventory financing: copula-based approaches
• Multi-period asset allocation by stochastic dynamic programming

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• Pyomo

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