Optimization of real asset portfolio using a coherent risk measure: Application to oil and energy industries

DOI10.1007/s11081-010-9127-xzbMath1218.91163MaRDI QIDQ535718

Yong-Cai Geng, Sumit K. Garg

Publication date: 13 May 2011

Published in: Optimization and Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11081-010-9127-x

zbMATH Keywords

decomposition methods; portfolio optimization; CVaR; real assets

Mathematics Subject Classification ID

90C90: Applications of mathematical programming

91B74: Economic models of real-world systems (e.g., electricity markets, etc.)

91G50: Corporate finance (dividends, real options, etc.)

91G10: Portfolio theory

Uses Software

• PLCP
• SQPlab