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ArticleComputational aspects of minimizing conditional value-at-risk

Alexandra Künzi-Bay2005

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Articlegreen2005

Computational aspects of minimizing conditional value-at-risk

Alexandra Künzi-Bay · János Mayer

93 citations·0/0 files stored·Computational Management Science

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Risk and Portfolio Optimization Financial Risk and Volatility Modeling Advanced Optimization Algorithms Research

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References

1999Coherent Measures of Risk 2000Optimization of conditional value-at-risk 2011Introduction to Stochastic Programming 1959Portfolio Selection: Efficient Diversification of Investments 2002Conditional value-at-risk for general loss distributions 1962Portfolio Selection: Efficient Diversification of Investments.1982Modern Portfolio Theory and Investment Analysis.1987Stochastic Simulation

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2012Mean–CVaR portfolio selection: A nonparametric estimation framework 2013Optimization with Multivariate Conditional Value-at-Risk Constraints 2006Solving two-stage stochastic programming problems with level decomposition 2010An enhanced model for portfolio choice with SSD criteria: a constructive approach 2009A smoothing method for solving portfolio optimization with CVaR and applications in allocation of generation asset 2015Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time

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Year2005

Typearticle

Published2005-11-22

VenueComputational Management Science

ISSN-L1619-697X

Languageen

Citations93

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ShelfRisk and Portfolio Optimization

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doi10.1007/s10287-005-0042-0

openalex_workW2069009481

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2016Robust two-stage stochastic linear optimization with risk aversion