Data-driven portfolio management with quantile constraints

DOI10.1007/S00291-015-0396-9MaRDI QIDQ2516641zbMATH OpenOpenAlexFDO

Authors Elçin Çetinkaya, Aurélie Thiele

Publication date 3 August 2015

Published in OR Spectrum (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00291-015-0396-9

zbMATH Keywords

data-driven optimizationiterative algorithmquantile constraints

Mathematics Subject Classification ID

Portfolio theory (91G10)

Recommendations

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Cites work

• A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem
• Coherent measures of risk
• Direct data-driven portfolio optimization with guaranteed shortfall probability
• Financial risk modelling and portfolio optimization with R
• Frontiers of Stochastically Nondominated Portfolios
• scientific article; zbMATH DE number 1836444 (Why is no real title available?)
• Mean-Absolute-Deviation Characteristic Lines for Securities and Portfolios
• Minimax optimization of investment portfolio by quantile criterion
• Optimization Methods in Finance
• Portfolio optimization with linear and fixed transaction costs
• Portfolio value-at-risk optimization for asymmetrically distributed asset returns
• Probabilistic constrained optimization. Methodology and applications
• Random convex programs
• Safety First and the Holding of Assets
• Value-at-risk optimization using the difference of convex algorithm
• Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach

Cited in

(9)

• Computing near-optimal value-at-risk portfolios using integer programming techniques
• Quantitative IT portfolio management
• Direct data-driven portfolio optimization with guaranteed shortfall probability
• Volatility versus downside risk: performance protection in dynamic portfolio strategies
• Financial optimization: optimization paradigms and financial planning under uncertainty
• Data-driven distributionally robust risk parity portfolio optimization
• Robust strategies for quantitative investment management
• Chance-constrained optimization under limited distributional information: a review of reformulations based on sampling and distributional robustness
• Portfolio optimization with \(pw\)-robustness

Describes a project that uses

Uses Software

• urca
• rneos
• cccp
• gogarch
• vars

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