Conditional value at risk and related linear programming models for portfolio optimization
From MaRDI portal
Publication:2480247
DOI10.1007/s10479-006-0142-4zbMath1132.91497OpenAlexW2110673618MaRDI QIDQ2480247
Publication date: 31 March 2008
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-006-0142-4
linear programmingportfolio optimizationstochastic dominancemean-risk modelsconditional value at riskGini's mean difference
Statistical methods; risk measures (91G70) Applications of mathematical programming (90C90) Portfolio theory (91G10)
Related Items (77)
Bounds for portfolio weights in decentralized asset allocation ⋮ Enhanced index tracking with CVaR-based ratio measures ⋮ A new rank dependent utility approach to model risk averse preferences in portfolio optimization ⋮ Mean-risk analysis with enhanced behavioral content ⋮ Mixed value-at-risk and its numerical investigation ⋮ An integrated approach for stock evaluation and portfolio optimization ⋮ Scenario aggregation method for portfolio expectile optimization ⋮ Measuring the coupled risks: A copula-based CVaR model ⋮ A fair division approach to humanitarian logistics inspired by conditional value-at-risk ⋮ A combinatorial optimization approach to scenario filtering in portfolio selection ⋮ Piecewise linear lower and upper bounds for the standard normal first order loss function ⋮ Solving mean-VaR portfolio selection model with interval-typed random parameter using interval analysis ⋮ Pareto efficient buy and hold investment strategies under order book linked constraints ⋮ Robust Decisions under Risk for Imprecise Probabilities ⋮ An interactive approach to stochastic programming-based portfolio optimization ⋮ Sensitivity of portfolio VaR and CVaR to portfolio return characteristics ⋮ Multicriteria decision systems for financial problems ⋮ Mean-risk model for uncertain portfolio selection with background risk ⋮ Multi-market portfolio optimization with conditional value at risk ⋮ Portfolio optimization and marginal contribution to risk on multivariate normal tempered stable model ⋮ Optimal Control of Conditional Value-at-Risk in Continuous Time ⋮ Online risk-averse submodular maximization ⋮ Conditional value‐at‐risk beyond finance: a survey ⋮ Robust reward–risk ratio portfolio optimization ⋮ On solving the dual for portfolio selection by optimizing conditional value at risk ⋮ Open-Pit Mining with Uncertainty: A Conditional Value-at-Risk Approach ⋮ Approximating exact expected utility via portfolio efficient frontiers ⋮ Interactive Socially Responsible Portfolio Selection: An Application to the Spanish Stock Market ⋮ Financial analysis based sectoral portfolio optimization under second order stochastic dominance ⋮ Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model ⋮ Stable solutions for optimal reinsurance problems involving risk measures ⋮ A possibilistic portfolio model with fuzzy liquidity constraint ⋮ On Decision Support Under Risk by the WOWA Optimization ⋮ Processing second-order stochastic dominance models using cutting-plane representations ⋮ Risk-averse two-stage stochastic programs in furniture plants ⋮ A mixed R{\&}D projects and securities portfolio selection model ⋮ Adaptive Reduced-Order Model Construction for Conditional Value-at-Risk Estimation ⋮ MULTIPERIOD CREDIBILITIC MEAN SEMI-ABSOLUTE DEVIATION PORTFOLIO SELECTION ⋮ A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function ⋮ Worst-case analysis of Gini mean difference safety measure ⋮ Index tracking and enhanced indexing using mixed conditional value-at-risk ⋮ Mean-risk-skewness models for portfolio optimization based on uncertain measure ⋮ Properties, formulations, and algorithms for portfolio optimization using mean-Gini criteria ⋮ Detecting large risk-averse 2-clubs in graphs with random edge failures ⋮ Efficient optimization of the reward-risk ratio with polyhedral risk measures ⋮ The double pivot simplex method ⋮ Uncertain portfolio selection with background risk and liquidity constraint ⋮ Mean-VaR portfolio optimization: a nonparametric approach ⋮ Expected shortfall: heuristics and certificates ⋮ A bi-level programming approach for global investment strategies with financial intermediation ⋮ Minimax strategies and duality with applications in financial mathematics ⋮ Conditional value at risk and related linear programming models for portfolio optimization ⋮ On efficient WOWA optimization for decision support under risk ⋮ Tail mean and related robust solution concepts ⋮ Downside Risk Approach for Multi-Objective Portfolio Optimization ⋮ Portfolio selection with a minimax measure in safety constraint ⋮ A smoothing method for solving portfolio optimization with CVaR and applications in allocation of generation asset ⋮ A multi-objective multi-period stochastic programming model for public debt management ⋮ Risk management strategies via minimax portfolio optimization ⋮ Copula based multivariate semi-Markov models with applications in high-frequency finance ⋮ Second order of stochastic dominance efficiency vs mean variance efficiency ⋮ Asset allocation strategies based on penalized quantile regression ⋮ Portfolio construction on the Athens Stock Exchange: a multiobjective optimization approach ⋮ Enhanced indexing using weighted conditional value at risk ⋮ NORTA for portfolio credit risk ⋮ Twenty years of linear programming based portfolio optimization ⋮ Time consistency and risk averse dynamic decision models: definition, interpretation and practical consequences ⋮ Clustering and portfolio selection problems: a unified framework ⋮ ON DUAL APPROACHES TO EFFICIENT OPTIMIZATION OF LP COMPUTABLE RISK MEASURES FOR PORTFOLIO SELECTION ⋮ Optimal reinsurance with general risk measures ⋮ Chance-constrained multiperiod mean absolute deviation uncertain portfolio selection ⋮ A theory of the risk for empirical CVaR with application to portfolio selection ⋮ Multiperiod mean absolute deviation uncertain portfolio selection with real constraints ⋮ Models and simulations for portfolio rebalancing ⋮ Extending pricing rules with general risk functions ⋮ A mean-CVaR-skewness portfolio optimization model based on asymmetric Laplace distribution ⋮ Linear vs. quadratic portfolio selection models with hard real-world constraints
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Heuristic algorithms for the portfolio selection problem with minimum transaction lots
- Semi-absolute deviation rule for mutual funds portfolio selection
- Multiple criteria linear programming model for portfolio selection
- From stochastic dominance to mean-risk models: Semideviations as risk measures
- Minimizing the sum of the \(k\) largest functions in linear time.
- Conditional value at risk and related linear programming models for portfolio optimization
- Optimality conditions in portfolio analysis with general deviation measures
- Coherent Measures of Risk
- A Minimax Portfolio Selection Rule with Linear Programming Solution
- Marginal Conditional Stochastic Dominance
- LP solvable models for portfolio optimization: a classification and computational comparison
- The Dual Theory of Choice under Risk
- Dual Stochastic Dominance and Related Mean-Risk Models
- Dual Stochastic Dominance and Quantile Risk Measures
- Mean-Absolute-Deviation Characteristic Lines for Securities and Portfolios
- Selecting portfolios with fixed costs and minimum transaction lots
- On consistency of stochastic dominance and mean-semideviation models
- Portfolio optimization problem under concave transaction costs and minimal transaction unit constraints
- Credit risk optimization with conditional Value-at-Risk criterion
This page was built for publication: Conditional value at risk and related linear programming models for portfolio optimization
