Conditional Value-at-Risk Approximation to Value-at-Risk Constrained Programs: A Remedy via Monte Carlo

DOI10.1287/ijoc.2013.0572zbMath1356.91105OpenAlexW2107932715MaRDI QIDQ2962566

Zhaolin Hu, L. Jeff Hong, Li-wei Zhang

Publication date: 17 February 2017

Published in: INFORMS Journal on Computing (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/088c768a69bb59560ba5579fd904f55153160a19

zbMATH Keywords

Monte Carlovalue-at-riskconditional value-at-riskCVaR-like approximation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Monte Carlo methods (65C05) Applications of mathematical programming (90C90) Stochastic programming (90C15)

Related Items (4)

Nonconvex and nonsmooth approaches for affine chance-constrained stochastic programs ⋮ Gradient and Hessian of joint probability function with applications on chance-constrained programs ⋮ Robust Simulation with Likelihood-Ratio Constrained Input Uncertainty ⋮ Monte Carlo Methods for Value-at-Risk and Conditional Value-at-Risk

Cites Work

• On solving the dual for portfolio selection by optimizing conditional value at risk
• On the use of outer approximations as an external active set strategy
• Portfolio optimization by minimizing conditional value-at-risk via nondifferentiable optimization
• Sample average approximation method for chance constrained programming: Theory and applications
• Robust solutions of linear programming problems contaminated with uncertain data
• On safe tractable approximations of chance constraints
• Fast gradient descent method for mean-CVaR optimization
• Coherent Measures of Risk
• From CVaR to Uncertainty Set: Implications in Joint Chance-Constrained Optimization
• Sequential Convex Approximations to Joint Chance Constrained Programs: A Monte Carlo Approach
• Simulating Sensitivities of Conditional Value at Risk
• Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
• Lectures on Stochastic Programming
• Confidence intervals for quantiles when applying variance-reduction techniques
• Convex Approximations of Chance Constrained Programs
• Credit risk optimization with conditional Value-at-Risk criterion

This page was built for publication: Conditional Value-at-Risk Approximation to Value-at-Risk Constrained Programs: A Remedy via Monte Carlo