CVaR minimization by the SRA algorithm

Author: A Kçnzi-Bay, A Prékopa, Cs Fábián, F Andersson, G Pflug, I Deák, I Deák, Kolos Cs. √Ågoston, P Artzner, T Rockafellar, T Rockafellar, W-K Mak
Publisher: Springer Science and Business Media LLC

ABOUT BOOK

Using the risk measure CV aR in ÔøΩnancial analysis has become more and more popular recently. In this paper we apply CV aR for portfolio optimization. The problem is formulated as a two-stage stochastic programming model, and the SRA algorithm, a recently developed heuristic algorithm, is applied for minimizing CV aR

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