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Monte Carlo methods for mean-risk optimization and portfolio selection

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  • Huifu Xu
  • Dali Zhang

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  • Huifu Xu & Dali Zhang, 2012. "Monte Carlo methods for mean-risk optimization and portfolio selection," Computational Management Science, Springer, vol. 9(1), pages 3-29, February.
    • Handle: RePEc:spr:comgts:v:9:y:2012:i:1:p:3-29
    DOI: 10.1007/s10287-010-0123-6
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    References listed on IDEAS

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    1. Gordon J. Alexander & Alexandre M. Baptista, 2004. "A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model," Management Science, INFORMS, vol. 50(9), pages 1261-1273, September.
    2. Efe A. Ok, 1997. "A note on the existence of progressive tax structures," Social Choice and Welfare, Springer;The Society for Social Choice and Welfare, vol. 14(4), pages 527-543.
    3. Stephen M. Robinson, 1996. "Analysis of Sample-Path Optimization," Mathematics of Operations Research, INFORMS, vol. 21(3), pages 513-528, August.
    4. Diana Roman & Kenneth Darby-Dowman & Gautam Mitra, 2007. "Mean-risk models using two risk measures: a multi-objective approach," Quantitative Finance, Taylor & Francis Journals, vol. 7(4), pages 443-458.
    5. L. Dai & C. H. Chen & J. R. Birge, 2000. "Convergence Properties of Two-Stage Stochastic Programming," Journal of Optimization Theory and Applications, Springer, vol. 106(3), pages 489-509, September.
    6. Philippe Artzner & Freddy Delbaen & Jean‐Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228, July.
    7. Rockafellar, R. Tyrrell & Uryasev, Stanislav, 2002. "Conditional value-at-risk for general loss distributions," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1443-1471, July.
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    Cited by:

    1. Begoña Font, 2016. "Bootstrap estimation of the efficient frontier," Computational Management Science, Springer, vol. 13(4), pages 541-570, October.
    2. Daniel Bartl & Shahar Mendelson, 2021. "On Monte-Carlo methods in convex stochastic optimization," Papers 2101.07794, arXiv.org, revised Jan 2022.
    3. Martin Branda, 2013. "On relations between chance constrained and penalty function problems under discrete distributions," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 77(2), pages 265-277, April.

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