CVaR minimization by the SRA algorithm

Ágoston, Kolos (2011) CVaR minimization by the SRA algorithm. Central European Journal of Operations Research . DOI 10.1007/s10100-011-0194-7 (In Press)

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Official URL: http://www.springerlink.com/content/l5787772u445l122/

Published online: 04 March 2011 (Online First)

Abstract

Using the risk measure CV aR in �nancial 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.

Item Type:

Article

Series Number / Identification Number:

10.1007/s10100-011-0194-7

Uncontrolled Keywords:

Risk measure, CVaR, stochastic programming, numerical optimization

Divisions:

Faculty of Economics > Department of Operations Research and Actuarial Sciences

Subjects:

Mathematics, Econometrics

DOI:

10.1007/s10100-011-0194-7