Fast gradient descent method for mean-CVaR optimization

DOI10.1007/S10479-012-1245-8MaRDI QIDQ2393350zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

portfolio optimizationconditional value-at-risk

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10) Methods of reduced gradient type (90C52)

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Cites work

• scientific article; zbMATH DE number 1836444 (Why is no real title available?)
• Coherent measures of risk
• Convex risk measures for portfolio optimization and concepts of flexibility
• Generalized deviations in risk analysis
• Mean-Absolute-Deviation Characteristic Lines for Securities and Portfolios
• Microeconomic theory
• Optimality conditions in portfolio analysis with general deviation measures
• Semi-absolute deviation rule for mutual funds portfolio selection
• Smooth minimization of non-smooth functions

Cited in

(16)

• A penalty decomposition algorithm for the extended mean-variance-CVaR portfolio optimization problem
• 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
• Monte Carlo methods for value-at-risk and conditional value-at-risk: a review
• Integrated operational and financial hedging with capacity reshoring
• Portfolio optimization with \(pw\)-robustness
• An improvement of stochastic gradient descent approach for mean-variance portfolio optimization problem
• A composite risk measure framework for decision making under uncertainty
• 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
• Conditional value-at-risk approximation to value-at-risk constrained programs: a remedy via Monte Carlo
• Portfolio selection with multiple spectral risk constraints
• Discrete conditional-expectation-based simulation optimization: methodology and applications
• Bilevel cutting-plane algorithm for cardinality-constrained mean-CVaR portfolio optimization
• Cutting plane algorithms for mean-CVaR portfolio optimization with nonconvex transaction costs

Describes a project that uses

Uses Software

• Mosek
• CPLEX

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