Fast gradient descent method for mean-CVaR optimization
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Publication:2393350
DOI10.1007/S10479-012-1245-8zbMATH Open1269.91072OpenAlexW2087766660MaRDI QIDQ2393350FDOQ2393350
Authors: G. Iyengar, Alfred Ka Chun Ma 
Publication date: 7 August 2013
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-012-1245-8
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Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10) Methods of reduced gradient type (90C52)
Cites Work
- Coherent measures of risk
- Smooth minimization of non-smooth functions
- Generalized deviations in risk analysis
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- Convex risk measures for portfolio optimization and concepts of flexibility
- Optimality conditions in portfolio analysis with general deviation measures
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- Semi-absolute deviation rule for mutual funds portfolio selection
- Mean-Absolute-Deviation Characteristic Lines for Securities and Portfolios
Cited In (14)
- Conditional Value-at-Risk Approximation to Value-at-Risk Constrained Programs: A Remedy via Monte Carlo
- Research on the portfolio model based on mean-MF-DCCA under multifractal feature constraint
- Gradient descent in the absence of global Lipschitz continuity of the gradients
- Portfolio optimization with entropic value-at-risk
- Integrated operational and financial hedging with capacity reshoring
- Portfolio optimization with \(pw\)-robustness
- A composite risk measure framework for decision making under uncertainty
- Portfolio Selection with Multiple Spectral Risk Constraints
- A multi-period constrained multi-objective evolutionary algorithm with orthogonal learning for solving the complex carbon neutral stock portfolio optimization model
- CVaR-based optimization of environmental flow via the Markov lift of a mixed moving average process
- Discrete conditional-expectation-based simulation optimization: methodology and applications
- Bilevel cutting-plane algorithm for cardinality-constrained mean-CVaR portfolio optimization
- Monte Carlo Methods for Value-at-Risk and Conditional Value-at-Risk
- Cutting plane algorithms for mean-CVaR portfolio optimization with nonconvex transaction costs
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