Portfolio optimization by minimizing conditional value-at-risk via nondifferentiable optimization
From MaRDI portal
(Redirected from Publication:989841)
Recommendations
- Conditional value-at-risk: optimization approach
- Computational aspects of minimizing conditional value-at-risk
- Non-smooth optimization methods for computation of the Conditional Value-at-risk and portfolio optimization
- CVaR proxies for minimizing scenario-based value-at-risk
- On solving the dual for portfolio selection by optimizing conditional value at risk
Cites work
- scientific article; zbMATH DE number 3668345 (Why is no real title available?)
- scientific article; zbMATH DE number 3282977 (Why is no real title available?)
- A comparison of multivariate normal generators
- A sample-path approach to optimal position liquidation
- A trust region target value method for optimizing nondifferentiable Lagrangian duals of linear programs
- A variable target value method for nondifferentiable optimization
- Coherent measures of risk
- Conjugate Gradient Methods with Inexact Searches
- Conjugate gradient methods using quasi-Newton updates with inexact line searches
- Convergence and computational analyses for some variable target value and subgradient deflection methods
- Convergence of a simple subgradient level method
- Credit risk optimization with conditional Value-at-Risk criterion
- Enhancing Lagrangian dual optimization for linear programs by obviating nondifferentiability
- Limited memory space dilation and reduction algorithms
- Methods of descent for nondifferentiable optimization
- Minimization of unsmooth functionals
- New variable-metric algorithms for nondifferentiable optimization problems
- Nonlinear Programming
- On embedding the volume algorithm in a variable target value method.
- On the Generation of Normal Random Vectors
- On the generation of deep disjunctive cutting planes
- Optimal security liquidation algorithms
- Proximity control in bundle methods for convex nondifferentiable minimization
- The volume algorithm: Producing primal solutions with a subgradient method
- Validation of subgradient optimization
Cited in
(34)- A smoothing method for solving portfolio optimization with CVaR and applications in allocation of generation asset
- scientific article; zbMATH DE number 7295427 (Why is no real title available?)
- Iterative scenario based reduction technique for stochastic optimization using conditional value-at-risk
- On efficient WOWA optimization for decision support under risk
- On solving the dual for portfolio selection by optimizing conditional value at risk
- On the application of an augmented Lagrangian algorithm to some portfolio problems
- Smoothed safety first and the holding of assets
- Monte Carlo methods for value-at-risk and conditional value-at-risk: a review
- On dual approaches to efficient optimization of LP computable risk measures for portfolio selection
- On the solution uniqueness in portfolio optimization and risk analysis
- Discrete conditional-expectation-based simulation optimization: methodology and applications
- Processing second-order stochastic dominance models using cutting-plane representations
- Twenty years of linear programming based portfolio optimization
- Computational aspects of minimizing conditional value-at-risk
- Bilevel cutting-plane algorithm for cardinality-constrained mean-CVaR portfolio optimization
- Minimum VaR and minimum CVaR optimal portfolios: Estimators, confidence regions, and tests
- Gradient-based optimisation of the conditional-value-at-risk using the multi-level Monte Carlo method
- Conditional value-at-risk approximation to value-at-risk constrained programs: a remedy via Monte Carlo
- Asymptotic behavior of the estimated weights and of the estimated performance measures of the minimum VaR and the minimum CVaR optimal portfolios for dependent data
- Efficient optimization of the reward-risk ratio with polyhedral risk measures
- Cutting plane algorithms for mean-CVaR portfolio optimization with nonconvex transaction costs
- Portfolio optimization with entropic value-at-risk
- Distributionally robust return-risk optimization models and their applications
- A scenario decomposition algorithm for stochastic programming problems with a class of downside risk measures
- Non-smooth optimization methods for computation of the Conditional Value-at-risk and portfolio optimization
- Stochastic quasigradient algorithm to minimize the function of integral quantile
- Portfolio selection based on extended Gini shortfall risk measures
- Detecting large risk-averse 2-clubs in graphs with random edge failures
- Open-pit mining with uncertainty: a conditional value-at-risk approach
- Risk-sensitive portfolio optimization problems with general nonnegative factor models
- A modified network DEA model for bank efficiency analysis considering risk factors
- Robust decisions under risk for imprecise probabilities
- Is being ``robust beneficial? A perspective from the Indian market
- A primal-dual aggregation algorithm for minimizing conditional value-at-risk in linear programs
This page was built for publication: Portfolio optimization by minimizing conditional value-at-risk via nondifferentiable optimization
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q989841)
