On solving the dual for portfolio selection by optimizing conditional value at risk
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Publication:409275
DOI10.1007/S10589-010-9321-YzbMATH Open1242.90102OpenAlexW2102959012MaRDI QIDQ409275FDOQ409275
Authors: W. Ogryczak, Tomasz Śliwiński 
Publication date: 12 April 2012
Published in: Computational Optimization and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10589-010-9321-y
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Linear programming (90C05) Applications of mathematical programming (90C90) Portfolio theory (91G10)
Cites Work
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- Computational aspects of minimizing conditional value-at-risk
- Conditional value at risk and related linear programming models for portfolio optimization
- Credit risk optimization with conditional Value-at-Risk criterion
- Portfolio optimization by minimizing conditional value-at-risk via nondifferentiable optimization
- Scenario tree generation for multiperiod financial optimization of optimal discretization
- On extending the LP computable risk measures to account downside risk
- On the effectiveness of scenario generation techniques in single-period portfolio optimization
- Risk-adjusted probability measures in portfolio optimization with coherent measures of risk
- Portfolio optimization under lower partial risk measures
- On dual approaches to efficient optimization of LP computable risk measures for portfolio selection
Cited In (21)
- Title not available (Why is that?)
- 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
- Monte Carlo methods for value-at-risk and conditional value-at-risk: a review
- Portfolio optimization with entropic value-at-risk
- Robust decisions under risk for imprecise probabilities
- Distributionally robust return-risk optimization models and their applications
- Medium range optimization of copper extraction planning under uncertainty in future copper prices
- 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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