Conditional value-at-risk in portfolio optimization: coherent but fragile
From MaRDI portal
Publication:635502
DOI10.1016/j.orl.2011.03.004zbMath1219.91130MaRDI QIDQ635502
Gah-Yi Vahn, J. George Shanthikumar, Andrew E. B. Lim
Publication date: 19 August 2011
Published in: Operations Research Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.orl.2011.03.004
portfolio optimization; mean-variance optimization; expected shortfall; conditional value-at-risk; coherent measures of risk; mean-CVaR optimization
91G70: Statistical methods; risk measures
90C90: Applications of mathematical programming
91G10: Portfolio theory
Related Items
Dynamic mean–VaR portfolio selection in continuous time, Data-driven robust mean-CVaR portfolio selection under distribution ambiguity, Portfolio Optimization with Nonparametric Value at Risk: A Block Coordinate Descent Method, Risk Averse Shortest Paths: A Computational Study, COMPARING THE SMALL-SAMPLE ESTIMATION ERROR OF CONCEPTUALLY DIFFERENT RISK MEASURES, Portfolio Selection with Multiple Spectral Risk Constraints, Monte Carlo Methods for Value-at-Risk and Conditional Value-at-Risk, Mean-variance-VaR portfolios: MIQP formulation and performance analysis, Dynamic mean-downside risk portfolio selection with a stochastic interest rate in continuous-time, A primal-dual aggregation algorithm for minimizing conditional value-at-risk in linear programs, Stable portfolio selection strategy for mean-variance-CVaR model under high-dimensional scenarios, The effect of regularization in portfolio selection problems, Uncertain portfolio selection with mental accounts and realistic constraints, Tail variance of portfolio under generalized Laplace distribution, Index tracking and enhanced indexing using mixed conditional value-at-risk, Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances, Robust sample average approximation, A mental account-based portfolio selection model with an application for data with smaller dimensions, Integrated dynamic models for hedging international portfolio risks, Multi-period portfolio selection with drawdown control, Varying confidence levels for CVaR risk measures and minimax limits, Robust empirical optimization is almost the same as mean-variance optimization, Restricted risk measures and robust optimization, When can we improve on sample average approximation for stochastic optimization?, A machine learning efficient frontier, Empirical tail risk management with model-based annealing random search, Robustness to Dependency in Portfolio Optimization Using Overlapping Marginals, Robust portfolio techniques for mitigating the fragility of CVaR minimization and generalization to coherent risk measures, Bias, exploitation and proxies in scenario-based risk minimization
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- On the controversy over tailweight of distributions.
- Computing efficient frontiers using estimated parameters
- Coherent Measures of Risk
- A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
- Robustness and sensitivity analysis of risk measurement procedures
- Robust Preferences and Robust Portfolio Choice
- AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT
- Common risk factors in the returns on stocks and bonds
- Extreme Value Theory as a Risk Management Tool
- Robust Statistics
- Stochastic finance. An introduction in discrete time
