Robust scenario-based value-at-risk optimization

Oleksandr Romanko () and Helmut Mausser
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Oleksandr Romanko: IBM
Helmut Mausser: IBM

Annals of Operations Research, 2016, vol. 237, issue 1, No 11, 203-218

Abstract: Abstract This paper develops and tests a heuristic algorithm for scenario-based value-at-risk (VaR) optimization. Due to the high computational complexity of VaR optimization, conditional value-at-risk-based proxies are utilized for VaR objectives. It is shown that our heuristic algorithm obtains robust results with low computational complexity.

Keywords: Risk management; Value-at-risk; Optimization; Algorithms; Robustness (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1007/s10479-015-1822-8

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