IDEAS home Printed from https://ideas.repec.org/a/spr/coopap/v50y2011i3p591-595.html
   My bibliography  Save this article

On solving the dual for portfolio selection by optimizing Conditional Value at Risk

Author

Listed:
  • Włodzimierz Ogryczak
  • Tomasz Śliwiński

Abstract

No abstract is available for this item.

Suggested Citation

  • Włodzimierz Ogryczak & Tomasz Śliwiński, 2011. "On solving the dual for portfolio selection by optimizing Conditional Value at Risk," Computational Optimization and Applications, Springer, vol. 50(3), pages 591-595, December.
    • Handle: RePEc:spr:coopap:v:50:y:2011:i:3:p:591-595
    DOI: 10.1007/s10589-010-9321-y
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1007/s10589-010-9321-y
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1007/s10589-010-9321-y?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Guastaroba, Gianfranco & Mansini, Renata & Speranza, M. Grazia, 2009. "On the effectiveness of scenario generation techniques in single-period portfolio optimization," European Journal of Operational Research, Elsevier, vol. 192(2), pages 500-511, January.
    2. Alexandra Künzi-Bay & János Mayer, 2006. "Computational aspects of minimizing conditional value-at-risk," Computational Management Science, Springer, vol. 3(1), pages 3-27, January.
    3. Miller, Naomi & Ruszczynski, Andrzej, 2008. "Risk-adjusted probability measures in portfolio optimization with coherent measures of risk," European Journal of Operational Research, Elsevier, vol. 191(1), pages 193-206, November.
    4. Renata Mansini & Włodzimierz Ogryczak & M. Speranza, 2007. "Conditional value at risk and related linear programming models for portfolio optimization," Annals of Operations Research, Springer, vol. 152(1), pages 227-256, July.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Chang, Kuo-Hao & Cuckler, Robert & Lee, Song-Lin & Lee, Loo Hay, 2022. "Discrete conditional-expectation-based simulation optimization: Methodology and applications," European Journal of Operational Research, Elsevier, vol. 298(1), pages 213-228.
    2. Daniel Espinoza & Eduardo Moreno, 2014. "A primal-dual aggregation algorithm for minimizing conditional value-at-risk in linear programs," Computational Optimization and Applications, Springer, vol. 59(3), pages 617-638, December.
    3. Vasilios N. Katsikis & Spyridon D. Mourtas & Predrag S. Stanimirović & Shuai Li & Xinwei Cao, 2021. "Time-Varying Mean-Variance Portfolio Selection under Transaction Costs and Cardinality Constraint Problem via Beetle Antennae Search Algorithm (BAS)," SN Operations Research Forum, Springer, vol. 2(2), pages 1-26, June.
    4. L. Jeff Hong & Zhaolin Hu & Liwei Zhang, 2014. "Conditional Value-at-Risk Approximation to Value-at-Risk Constrained Programs: A Remedy via Monte Carlo," INFORMS Journal on Computing, INFORMS, vol. 26(2), pages 385-400, May.
    5. Jakobsons Edgars, 2016. "Scenario aggregation method for portfolio expectile optimization," Statistics & Risk Modeling, De Gruyter, vol. 33(1-2), pages 51-65, September.
    6. Adam Krzemienowski & Sylwia Szymczyk, 2016. "Portfolio optimization with a copula-based extension of conditional value-at-risk," Annals of Operations Research, Springer, vol. 237(1), pages 219-236, February.
    7. Adam Krzemienowski & Sylwia Szymczyk, 2016. "Portfolio optimization with a copula-based extension of conditional value-at-risk," Annals of Operations Research, Springer, vol. 237(1), pages 219-236, February.
    8. Amir Ahmadi-Javid & Malihe Fallah-Tafti, 2017. "Portfolio Optimization with Entropic Value-at-Risk," Papers 1708.05713, arXiv.org.
    9. Ken Kobayashi & Yuichi Takano & Kazuhide Nakata, 2021. "Bilevel cutting-plane algorithm for cardinality-constrained mean-CVaR portfolio optimization," Journal of Global Optimization, Springer, vol. 81(2), pages 493-528, October.
    10. Ahmadi-Javid, Amir & Fallah-Tafti, Malihe, 2019. "Portfolio optimization with entropic value-at-risk," European Journal of Operational Research, Elsevier, vol. 279(1), pages 225-241.
    11. Seixas, Mário & Barbosa, António, 2019. "Optimal Value-at-Risk Disclosure," MPRA Paper 97526, University Library of Munich, Germany.
    12. Alonso-Ayuso, Antonio & Carvallo, Felipe & Escudero, Laureano F. & Guignard, Monique & Pi, Jiaxing & Puranmalka, Raghav & Weintraub, Andrés, 2014. "Medium range optimization of copper extraction planning under uncertainty in future copper prices," European Journal of Operational Research, Elsevier, vol. 233(3), pages 711-726.
    13. Javad Koushki & Kaisa Miettinen & Majid Soleimani-damaneh, 2022. "LR-NIMBUS: an interactive algorithm for uncertain multiobjective optimization with lightly robust efficient solutions," Journal of Global Optimization, Springer, vol. 83(4), pages 843-863, August.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Mansini, Renata & Ogryczak, Wlodzimierz & Speranza, M. Grazia, 2014. "Twenty years of linear programming based portfolio optimization," European Journal of Operational Research, Elsevier, vol. 234(2), pages 518-535.
    2. Nasini, Stefano & Labbé, Martine & Brotcorne, Luce, 2022. "Multi-market portfolio optimization with conditional value at risk," European Journal of Operational Research, Elsevier, vol. 300(1), pages 350-365.
    3. Balbás, Alejandro & Balbás, Beatriz & Heras, Antonio, 2010. "Stability of the optimal reinsurance with respect to the risk measure," DEE - Working Papers. Business Economics. WB wb100201, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    4. Balbás, Alejandro & Balbás, Beatriz & Heras, Antonio, 2011. "Stable solutions for optimal reinsurance problems involving risk measures," European Journal of Operational Research, Elsevier, vol. 214(3), pages 796-804, November.
    5. Murat Köksalan & Ceren Tuncer Şakar, 2016. "An interactive approach to stochastic programming-based portfolio optimization," Annals of Operations Research, Springer, vol. 245(1), pages 47-66, October.
    6. Francesco Cesarone & Raffaello Cesetti & Giuseppe Orlando & Manuel Luis Martino & Jacopo Maria Ricci, 2022. "Comparing SSD-Efficient Portfolios with a Skewed Reference Distribution," Mathematics, MDPI, vol. 11(1), pages 1-20, December.
    7. Seixas, Mário & Barbosa, António, 2019. "Optimal Value-at-Risk Disclosure," MPRA Paper 97526, University Library of Munich, Germany.
    8. Gianfranco Guastaroba & Renata Mansini & Wlodzimierz Ogryczak & M. Grazia Speranza, 2020. "Enhanced index tracking with CVaR-based ratio measures," Annals of Operations Research, Springer, vol. 292(2), pages 883-931, September.
    9. Giovanni Bonaccolto & Massimiliano Caporin & Sandra Paterlini, 2018. "Asset allocation strategies based on penalized quantile regression," Computational Management Science, Springer, vol. 15(1), pages 1-32, January.
    10. Lizyayev, Andrey & Ruszczyński, Andrzej, 2012. "Tractable Almost Stochastic Dominance," European Journal of Operational Research, Elsevier, vol. 218(2), pages 448-455.
    11. Kolos Ágoston, 2012. "CVaR minimization by the SRA algorithm," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 20(4), pages 623-632, December.
    12. Min, Daiki & Chung, Jaewoo, 2013. "Evaluation of the long-term power generation mix: The case study of South Korea's energy policy," Energy Policy, Elsevier, vol. 62(C), pages 1544-1552.
    13. Juan Ma & Foad Mahdavi Pajouh & Balabhaskar Balasundaram & Vladimir Boginski, 2016. "The Minimum Spanning k -Core Problem with Bounded CVaR Under Probabilistic Edge Failures," INFORMS Journal on Computing, INFORMS, vol. 28(2), pages 295-307, May.
    14. Young Kim & Rosella Giacometti & Svetlozar Rachev & Frank Fabozzi & Domenico Mignacca, 2012. "Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model," Annals of Operations Research, Springer, vol. 201(1), pages 325-343, December.
    15. Ken Kobayashi & Yuichi Takano & Kazuhide Nakata, 2021. "Bilevel cutting-plane algorithm for cardinality-constrained mean-CVaR portfolio optimization," Journal of Global Optimization, Springer, vol. 81(2), pages 493-528, October.
    16. Amy Givler Chapman & John E. Mitchell, 2018. "A fair division approach to humanitarian logistics inspired by conditional value-at-risk," Annals of Operations Research, Springer, vol. 262(1), pages 133-151, March.
    17. Borgonovo, Emanuele & Gatti, Stefano, 2013. "Risk analysis with contractual default. Does covenant breach matter?," European Journal of Operational Research, Elsevier, vol. 230(2), pages 431-443.
    18. Francesco Cesarone & Andrea Scozzari & Fabio Tardella, 2015. "Linear vs. quadratic portfolio selection models with hard real-world constraints," Computational Management Science, Springer, vol. 12(3), pages 345-370, July.
    19. Alessandra Carleo & Francesco Cesarone & Andrea Gheno & Jacopo Maria Ricci, 2017. "Approximating exact expected utility via portfolio efficient frontiers," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 40(1), pages 115-143, November.
    20. Leili Javanmardi & Yuri Lawryshyn, 2016. "A new rank dependent utility approach to model risk averse preferences in portfolio optimization," Annals of Operations Research, Springer, vol. 237(1), pages 161-176, February.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:coopap:v:50:y:2011:i:3:p:591-595. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.