On solving the dual for portfolio selection by optimizing conditional value at risk
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Cites work
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- Dual Stochastic Dominance and Related Mean-Risk Models
- On dual approaches to efficient optimization of LP computable risk measures for portfolio selection
- On extending the LP computable risk measures to account downside risk
- On the effectiveness of scenario generation techniques in single-period portfolio optimization
- Portfolio optimization by minimizing conditional value-at-risk via nondifferentiable optimization
- Portfolio optimization under lower partial risk measures
- Processing second-order stochastic dominance models using cutting-plane representations
- Risk-adjusted probability measures in portfolio optimization with coherent measures of risk
- Scenario tree generation for multiperiod financial optimization of optimal discretization
Cited in
(21)- scientific article; zbMATH DE number 7295427 (Why is no real title available?)
- Efficient optimization of the reward-risk ratio with polyhedral risk measures
- Portfolio selection based on extended Gini shortfall risk measures
- Computational Science - ICCS 2004
- Portfolio optimization with a copula-based extension of conditional value-at-risk
- Portfolio optimization with entropic value-at-risk
- Monte Carlo methods for value-at-risk and conditional value-at-risk: a review
- Robust decisions under risk for imprecise probabilities
- Medium range optimization of copper extraction planning under uncertainty in future copper prices
- Distributionally robust return-risk optimization models and their applications
- Portfolio optimization by minimizing conditional value-at-risk via nondifferentiable optimization
- Scenario aggregation method for portfolio expectile optimization
- On dual approaches to efficient optimization of LP computable risk measures for portfolio selection
- A primal-dual aggregation algorithm for minimizing conditional value-at-risk in linear programs
- LR-NIMBUS: an interactive algorithm for uncertain multiobjective optimization with lightly robust efficient solutions
- On Conditional Value-at-Risk Based Goal Programming Portfolio Selection Procedure
- Conditional value at risk and related linear programming models for portfolio optimization
- Conditional value-at-risk approximation to value-at-risk constrained programs: a remedy via Monte Carlo
- Time-varying mean-variance portfolio selection under transaction costs and cardinality constraint problem via beetle antennae search algorithm (BAS)
- Discrete conditional-expectation-based simulation optimization: methodology and applications
- Bilevel cutting-plane algorithm for cardinality-constrained mean-CVaR portfolio optimization
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