Portfolio optimization by minimizing conditional value-at-risk via nondifferentiable optimization
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Publication:989841
DOI10.1007/S10589-008-9196-3zbMATH Open1200.91283OpenAlexW2079088014MaRDI QIDQ989841FDOQ989841
Authors: Churlzu Lim, Hanif D. Sherali, 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
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Linear programming (90C05) Portfolio theory (91G10) Derivative-free methods and methods using generalized derivatives (90C56)
Cites Work
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Cited In (34)
- Title not available (Why is that?)
- Efficient optimization of the reward-risk ratio with polyhedral risk measures
- Portfolio selection based on extended Gini shortfall risk measures
- Processing second-order stochastic dominance models using cutting-plane representations
- Computational aspects of minimizing conditional value-at-risk
- On the application of an augmented Lagrangian algorithm to some portfolio problems
- On solving the dual for portfolio selection by optimizing conditional value at risk
- Monte Carlo methods for value-at-risk and conditional value-at-risk: a review
- Portfolio optimization with entropic value-at-risk
- Robust decisions under risk for imprecise probabilities
- On efficient WOWA optimization for decision support under risk
- A scenario decomposition algorithm for stochastic programming problems with a class of downside risk measures
- Distributionally robust return-risk optimization models and their applications
- Open-pit mining with uncertainty: a conditional value-at-risk approach
- On dual approaches to efficient optimization of LP computable risk measures for portfolio selection
- A primal-dual aggregation algorithm for minimizing conditional value-at-risk in linear programs
- A smoothing method for solving portfolio optimization with CVaR and applications in allocation of generation asset
- Minimum VaR and minimum CVaR optimal portfolios: Estimators, confidence regions, and tests
- A modified network DEA model for bank efficiency analysis considering risk factors
- Smoothed safety first and the holding of assets
- Is being ``robust beneficial? A perspective from the Indian market
- Gradient-based optimisation of the conditional-value-at-risk using the multi-level Monte Carlo method
- Stochastic quasigradient algorithm to minimize the function of integral quantile
- Iterative scenario based reduction technique for stochastic optimization using conditional value-at-risk
- Risk-sensitive portfolio optimization problems with general nonnegative factor models
- On the solution uniqueness in portfolio optimization and risk analysis
- Non-smooth optimization methods for computation of the Conditional Value-at-risk and portfolio optimization
- Conditional value-at-risk approximation to value-at-risk constrained programs: a remedy via Monte Carlo
- Discrete conditional-expectation-based simulation optimization: methodology and applications
- Twenty years of linear programming based portfolio optimization
- Bilevel cutting-plane algorithm for cardinality-constrained mean-CVaR portfolio optimization
- 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
- Cutting plane algorithms for mean-CVaR portfolio optimization with nonconvex transaction costs
- Detecting large risk-averse 2-clubs in graphs with random edge failures
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