CVaR minimization by the SRA algorithm
Kolos Ágoston ()
Central European Journal of Operations Research, 2012, vol. 20, issue 4, 623-632
Using the risk measure CVaR in financial analysis has become more and more popular recently. In this paper we apply CVaR 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 CVaR. Copyright Springer-Verlag 2012
Keywords: Risk measure; CVaR; Stochastic programming; Numerical optimization (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:spr:cejnor:v:20:y:2012:i:4:p:623-632
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