CVaR minimization by the SRA algorithm
نویسنده
چکیده
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.
منابع مشابه
An Efficient Decomposition Algorithm for Static, Stochastic, Linear and Mixed-Integer Linear Programs with Conditional-Value-at-Risk Constraints
LIMITED DISTRIBUTION NOTICE: This report has been submitted for publication outside of IBM and will probably be copyrighted if accepted for publication. It has been issued as a Research Report for early dissemination of its contents. In view of the transfer of copyright to the outside publisher, its distribution outside of IBM prior to publication should be limited to peer communications and sp...
متن کاملMinimizing CVaR and VaR for a Portfolio of Derivatives∗
Value at risk (VaR) and conditional value at risk (CVaR) are the most frequently used risk measures in current risk management practice. As an alternative to VaR, CVaR is attractive since it is a coherent risk measure. We analyze the problem of computing the optimal VaR and CVaR portfolios. In particular, we illustrate that VaR and CVaR minimization problems for derivatives portfolios are typic...
متن کاملB - 439 Support Vector Machine Based on Conditional Value - at - Risk Minimization Akiko
A binary linear classification method, CGS method, was recently proposed by Gotoh and Takeda. The classification model was developed by introducing a risk measure known as the conditional value-at-risk (β-CVaR). CVaR minimization for the margin distribution leads to CGS problem, equivalent to ν-SVC of Schölkopf et al. in the convex case and Extended ν-SVC of Perez-Cruz et al. in the nonconvex c...
متن کاملCVaR pricing and hedging in Unit-Linked insurance products
This paper describes a way how to find the minimal seller’s price for a unit-linked insurance product in order to make the claim acceptable, under the assumption that information about the insurance process is only available at the time of maturity. For the general case, the price calculated here provides still an upper bound. Acceptability is defined through the CVaR criterion. Furthermore, th...
متن کاملAsymptotic Analysis of Sample Average Approximation for Stochastic Optimization Problems with Joint Chance Constraints via CVaR/DC Approximations
Conditional Value at Risk (CVaR) has been recently used to approximate a chance constraint. In this paper, we study the convergence of stationary points when sample average approximation (SAA) method is applied to a CVaR approximated joint chance constrained stochastic minimization problem. Specifically, we prove, under some moderate conditions, that optimal solutions and stationary points obta...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
- CEJOR
دوره 20 شماره
صفحات -
تاریخ انتشار 2012