Scenario-based stochastic model and efficient cross-entropy algorithm for the risk-budgeting problem

DOI10.1007/S10479-024-06227-7MaRDI QIDQ6644358zbMATH OpenFDO

Authors Morteza Bayat, F. Hooshmand, S. A. MirHassani

Publication date 27 November 2024

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S10479-024-06227-7

zbMATH Keywords

cardinality constraintcross-entropy algorithmportfolio selection problemrisk budgeting problemstochastic bi-level model

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX) Mathematical programming (90Cxx) Actuarial science and mathematical finance (91Gxx)

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Cites work

• A cross entropy algorithm for the Knapsack problem with setups
• A tutorial on the cross-entropy method
• Bilevel and multilevel programming: A bibliography review
• Data-driven distributionally robust risk parity portfolio optimization
• Equity portfolio management with cardinality constraints and risk parity control using multi-objective particle swarm optimization
• scientific article; zbMATH DE number 2107836 (Why is no real title available?)
• scientific article; zbMATH DE number 2117227 (Why is no real title available?)
• Least-squares approach to risk parity in portfolio selection
• Long-only equal risk contribution portfolios for CVaR under discrete distributions
• Optimization of computer simulation models with rare events
• Robust risk budgeting
• Shortfall as a risk measure: properties, optimization and applications
• Solving the vehicle routing problem with stochastic demands using the cross-entropy method

Cited in

(1)

• Drawdown minimization in asset portfolio selection: MINLP models and efficient cross-entropy algorithm

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