76 search results - page 2 / 16 » Efficient Portfolio Optimization with Conditional Value at R... |
CEC
2005
IEEE
13 years 10 months ago
2005
IEEE
—A principal challenge in modern computational finance is efficient portfolio design – portfolio optimization followed by decision-making. Optimization based on even the widely...
IOR
2011
12 years 12 months ago
2011
We formulate a risk-averse two-stage stochastic linear programming problem in which unresolved uncertainty remains after the second stage. The objective function is formulated as ...
MANSCI
2007
13 years 4 months ago
2007
Value at Risk (VaR) is a central concept in risk management. As stressed by Artzner et al. (1999), VaR may not possess the subadditivity property required to be a coherent measure...
ORL
2008
13 years 4 months ago
2008
We propose a sample average approximation (SAA) method for stochastic programming problems involving an expected value constraint. Such problems arise, for example, in portfolio s...
FSS
2002
13 years 4 months ago
2002
The mean-variance methodology for the portfolio selection problem, originally proposed by Markowitz, has been one of the most important research fields in modern finance. In this ...