Portfolio optimization with a copula-based extension of conditional value-at-risk

DOI10.1007/S10479-014-1625-3zbMATH Open1341.91125DBLPjournals/anor/KrzemienowskiS16OpenAlexW2001414341WikidataQ59473177 ScholiaQ59473177MaRDI QIDQ286012FDOQ286012

Authors: Adam Krzemienowski, Sylwia Szymczyk 

Publication date: 19 May 2016

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-014-1625-3

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zbMATH Keywords

portfolio optimizationcolumn generation algorithmmultivariate risk measuresquantile risk measures

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Cites Work

• Coherent measures of risk
• The Decomposition Algorithm for Linear Programs
• Dual Stochastic Dominance and Related Mean-Risk Models
• Multivariate value at risk and related topics
• Some remarks on the value-at-risk and the conditional value-at-risk
• On solving the dual for portfolio selection by optimizing conditional value at risk
• LP solvable models for portfolio optimization: a classification and computational comparison
• Credit risk optimization with conditional Value-at-Risk criterion

Cited In (29)

• Constructing copulas using corrected Hermite polynomial expansion for estimating cross foreign exchange volatility
• Portfolio selection with commodities under conditional copulas and skew preferences
• Improving the performance of evolutionary algorithms: a new approach utilizing information from the evolutionary process and its application to the fuzzy portfolio optimization problem
• A multivariate CVaR risk measure from the perspective of portfolio risk management
• Most unfavorable deductibles and coverage limits for multiple random risks with Archimedean copulas
• Robust optimization of mixed CVaR STARR ratio using copulas
• Efficiency evaluation of fuzzy portfolio in different risk measures via DEA
• Analysis of long-term natural gas contracts with vine copulas in optimization portfolio problems
• A study of a dynamic portfolio selection model based on a complex copula function
• Credit risk optimization with conditional Value-at-Risk criterion
• Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas
• Portfolio selection based on semivariance and distance correlation under minimum variance framework
• On Conditional Value-at-Risk Based Goal Programming Portfolio Selection Procedure
• A generalized error distribution copula-based method for portfolios risk assessment
• Multi-criteria decision making for choosing socially responsible investment within a behavioral portfolio theory framework: a new way of investing into a crisis environment
• Calculating CVaR and bPOE for common probability distributions with application to portfolio optimization and density estimation
• A hybrid FA-SA algorithm for fuzzy portfolio selection with transaction costs
• Portfolio optimization for inventory financing: copula-based approaches
• Analysis of portfolio CVaR based on pair-copula scenario generation and the constraint of generalized entropy
• Risk preference modeling with conditional average: An application to portfolio optimization
• Application of Copula and Copula-CVaR in the Multivariate Portfolio Optimization
• Portfolio optimization of stock returns in high-dimensions: a copula-based approach
• Numerical comparison of conditional value-at-risk and conditional drawdown-at-risk approaches: application to hedge funds
• Distributionally robust portfolio optimization under marginal and copula ambiguity
• A new efficiently encoded multiobjective algorithm for the solution of the cardinality constrained portfolio optimization problem
• Multistage optimization of option portfolio using higher order coherent risk measures
• Robust portfolio optimization with copulas
• Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios
• Copula-based estimation of value at risk for the portfolio problem

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