A linearized value-at-risk model with transaction costs and short selling

DOI10.1016/J.EJOR.2015.06.024zbMATH Open1348.91296OpenAlexW616660716MaRDI QIDQ320109FDOQ320109

Da-Ren Mu, Jing-Rung Yu, Wan-Jiun Paul Chiou

Publication date: 6 October 2016

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2015.06.024

zbMATH Keywords

transaction costslinearized modelshort-sales

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Statistical methods; risk measures (91G70) Mixed integer programming (90C11)

Cites Work

• A linearization method for mixed 0--1 polynomial programs
• Incorporating Asymmetric Distributional Information in Robust Value-at-Risk Optimization
• Portfolio rebalancing model using multiple criteria
• Portfolio value-at-risk optimization for asymmetrically distributed asset returns
• A semiparametric Bayesian approach to the analysis of financial time series with applications to value at risk estimation
• A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem
• Robust multiobjective optimization \& applications in portfolio optimization
• 60 years of portfolio optimization: practical challenges and current trends
• Multi‐asset portfolio optimization with transaction cost
• Dynamic value at risk under optimal and suboptimal portfolio policies.
• Comments on ``A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem

Cited In (2)

• Using parametric classification trees for model selection with applications to financial risk management
• Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios

Uses Software

• CAViaR

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