Multiperiod portfolio investment using stochastic programming with conditional value at risk
DOI10.1016/J.COR.2016.11.011zbMATH Open1391.90440DBLPjournals/cor/ChenY17OpenAlexW2556742204WikidataQ56524240 ScholiaQ56524240MaRDI QIDQ1652255FDOQ1652255
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
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- scientific article; zbMATH DE number 7365939
stochastic programmingconditional value at riskmoment matchingmultiperiod portfolio investmentsuperior predictive ability
Approximation methods and heuristics in mathematical programming (90C59) Portfolio theory (91G10) Stochastic programming (90C15) Financial applications of other theories (91G80)
Cites Work
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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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