Portfolio optimization by minimizing conditional value-at-risk via nondifferentiable optimization

DOI10.1007/s10589-008-9196-3zbMath1200.91283OpenAlexW2079088014MaRDI QIDQ989841

Hanif D. Sherali, Churlzu Lim, Stan Uryasev

Publication date: 23 August 2010

Published in: Computational Optimization and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10589-008-9196-3

zbMATH Keywords

nondifferentiable optimizationportfolio optimizationCVaR

Mathematics Subject Classification ID

Derivative-free methods and methods using generalized derivatives (90C56) Linear programming (90C05) Portfolio theory (91G10)

Related Items

On the application of an augmented Lagrangian algorithm to some portfolio problems, A Scenario Decomposition Algorithm for Stochastic Programming Problems with a Class of Downside Risk Measures, Robust Decisions under Risk for Imprecise Probabilities, Is being ``robust beneficial? A perspective from the Indian market, 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, Gradient-based optimisation of the conditional-value-at-risk using the multi-level Monte Carlo method, On solving the dual for portfolio selection by optimizing conditional value at risk, Open-Pit Mining with Uncertainty: A Conditional Value-at-Risk Approach, Portfolio selection based on extended Gini shortfall risk measures, Conditional Value-at-Risk Approximation to Value-at-Risk Constrained Programs: A Remedy via Monte Carlo, Processing second-order stochastic dominance models using cutting-plane representations, A primal-dual aggregation algorithm for minimizing conditional value-at-risk in linear programs, Bilevel cutting-plane algorithm for cardinality-constrained mean-CVaR portfolio optimization, Detecting large risk-averse 2-clubs in graphs with random edge failures, Efficient optimization of the reward-risk ratio with polyhedral risk measures, On efficient WOWA optimization for decision support under risk, Portfolio optimization with entropic value-at-risk, Stochastic quasigradient algorithm to minimize the function of integral quantile, Smoothed safety first and the holding of assets, A smoothing method for solving portfolio optimization with CVaR and applications in allocation of generation asset, Twenty years of linear programming based portfolio optimization, ON DUAL APPROACHES TO EFFICIENT OPTIMIZATION OF LP COMPUTABLE RISK MEASURES FOR PORTFOLIO SELECTION, Discrete conditional-expectation-based simulation optimization: methodology and applications, Distributionally robust return-risk optimization models and their applications, Minimum VaR and minimum CVaR optimal portfolios: Estimators, confidence regions, and tests, Monte Carlo Methods for Value-at-Risk and Conditional Value-at-Risk, Cutting plane algorithms for mean-CVaR portfolio optimization with nonconvex transaction costs, Iterative scenario based reduction technique for stochastic optimization using conditional value-at-risk

Uses Software

• CPLEX

Cites Work

• Unnamed Item
• Unnamed Item
• On embedding the volume algorithm in a variable target value method.
• Convergence and computational analyses for some variable target value and subgradient deflection methods
• A trust region target value method for optimizing nondifferentiable Lagrangian duals of linear programs
• Proximity control in bundle methods for convex nondifferentiable minimization
• Conjugate gradient methods using quasi-Newton updates with inexact line searches
• Convergence of a simple subgradient level method
• New variable-metric algorithms for nondifferentiable optimization problems
• The volume algorithm: Producing primal solutions with a subgradient method
• A variable target value method for nondifferentiable optimization
• Methods of descent for nondifferentiable optimization
• A sample-path approach to optimal position liquidation
• Optimal security liquidation algorithms
• Coherent Measures of Risk
• Enhancing Lagrangian Dual Optimization for Linear Programs by Obviating Nondifferentiability
• On the generation of deep disjunctive cutting planes
• Conjugate Gradient Methods with Inexact Searches
• Validation of subgradient optimization
• Nonlinear Programming
• Minimization of unsmooth functionals
• A comparison of multivariate normal generators
• On the Generation of Normal Random Vectors
• Limited memory space dilation and reduction algorithms
• Credit risk optimization with conditional Value-at-Risk criterion