Robust conditional value-at-risk optimization for asymmetrically distributed asset returns

zbMATH Open1264.90201MaRDI QIDQ4906129FDOQ4906129

Authors: Zhifeng Dai, Dong-Hui Li, Fenghua Wen 

Publication date: 7 February 2013

Full work available at URL: http://www.yokohamapublishers.jp/online2/oppjo/vol8/p429.html

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zbMATH Keywords

linear programmingportfolio optimizationrobust optimizationconditional value at risksecond-order cone programming

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of mathematical programming (90C90) Portfolio theory (91G10)

Cited In (9)

• Portfolio risk management with CVaR-like constraints
• Robust portfolio selection based on asymmetric measures of variability of stock returns
• A robust mean absolute deviation model for a portfolio optimization problem with asymmetric data uncertainty
• Worse-case conditional value-at-risk for asymmetrically distributed asset scenarios returns
• Portfolio value-at-risk optimization for asymmetrically distributed asset returns
• Robust CVaR-based portfolio optimization under a genal affine data perturbation uncertainty set
• CVaR robust mean-CVaR portfolio optimization model and the solving methods
• Extension of modified Polak-Ribière-Polyak conjugate gradient method to linear equality constraints minimization problems
• Incorporating Asymmetric Distributional Information in Robust Value-at-Risk Optimization

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