Extended mean-conditional value-at-risk portfolio optimization with PADM and conditional scenario reduction technique

DOI10.1007/s00180-022-01263-yOpenAlexW4288758372MaRDI QIDQ6177016

Tahereh Khodamoradi, Maziar Salahi

Publication date: 29 August 2023

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00180-022-01263-y

zbMATH Keywords

cardinality constraintsshort sellingscenario reductionmean-CVaR modelpenalty alternating direction method

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08)

Related Items (1)

Norm constrained minimum variance portfolios with short selling

Cites Work

• Unnamed Item
• Scenario reduction in stochastic programming
• Portfolio optimization under lower partial risk measures
• A note on the alternating direction method of multipliers
• Cardinality-constrained portfolio optimization with short selling and risk-neutral interest rate
• Robust CCMV model with short selling and risk-neutral interest rate
• Bilevel cutting-plane algorithm for cardinality-constrained mean-CVaR portfolio optimization
• A hybrid algorithm for the two-trust-region subproblem
• Biconvex sets and optimization with biconvex functions: a survey and extensions
• Coherent Measures of Risk
• A new LQP alternating direction method for solving variational inequality problems with separable structure
• Computing Feasible Points of Bilevel Problems with a Penalty Alternating Direction Method
• An Alternating Method for Cardinality-Constrained Optimization: A Computational Study for the Best Subset Selection and Sparse Portfolio Problems
• A penalty PALM method for sparse portfolio selection problems
• Penalty Alternating Direction Methods for Mixed-Integer Optimization: A New View on Feasibility Pumps

This page was built for publication: Extended mean-conditional value-at-risk portfolio optimization with PADM and conditional scenario reduction technique