CVaR minimization by the SRA algorithm
نویسندگان
چکیده
منابع مشابه
CVaR minimization by the SRA algorithm
Using the risk measure CV aR in financial 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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ژورنال
عنوان ژورنال: Central European Journal of Operations Research
سال: 2011
ISSN: 1435-246X,1613-9178
DOI: 10.1007/s10100-011-0194-7