CVaR minimization by the SRA algorithm

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.

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Year of publication:	2011
Authors:	Ágoston, Kolos
Publisher:	Springer
Subject:	Mathematics \| Econometrics

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Type of publication:	Article
Language:	English
Notes:	Ágoston, Kolos (2011) CVaR minimization by the SRA algorithm. Central European Journal of Operations Research . DOI 10.1007/s10100-011-0194-7 <http://dx.doi.org/10.1007/s10100-011-0194-7> (In Press)
Source:	BASE

Persistent link: https://www.econbiz.de/10011316325