Robust optimization of conditional value at risk and portfolio selection

The last aspect is the heart of this contribute that essentially consists in the application of robust optimization to the minimization of the conditional value ...

Conditional Value-at-Risk Robust Optimization

We propose using the well-known conditional value at risk (CVaR) risk measure as a new methodology for incorporating robustness into portfolio ...

Robust Mean-Conditional Value at Risk Portfolio Optimization

The Markowitz mean-variance (MV) model has been used as the standard framework for optimal portfolio selection problems. In this model, portfolio return is ...

Optimization of conditional value-at-risk

This paper introduces a new approach to optimizing a portfolio so as to reduce the risk of high losses. Value-at-risk (VaR) has a role in the approach, but the.

Quaranta, A.G. and Zaffaroni, A. (2008) Robust Optimization of ...

Quaranta, A.G. and Zaffaroni, A. (2008) Robust Optimization of Conditional Value at Risk and Portfolio Selection. Journal of Banking & Finance, 32, ...

ROBUST CONDITIONAL VALUE-AT- RISK PORTFOLIO ...

Broos Maenhout, we decided to investigate robust optimization techniques for portfolio selection. This master's dissertation would not have been made possible ...

Robust Portfolio Optimization Using Conditional Value At Risk Final ...

A worst-case robust multi-period portfolio optimization model using conditional value at risk and an optimization framework based on scenario trees is ...

(PDF) CVaR Robust Mean-CVaR Portfolio Optimization

In this paper, we present a new robust portfolio optimization technique for mean-CVaR portfolio selection problem under the estimation risk in ...

Robust Mean-Conditional Value at Risk Portfolio Optimization

Abstract: In the portfolio optimization, the goal is to distribute the fixed capital on a set of investment opportunities to maximize return while managing risk ...

Portfolio Optimization with Robust Covariance and Conditional ...

In Section 5.3, we add CVaR constraints to the minimum variance optimization to control for extreme risk. Specifically, we test and compare portfolios with one ...

Robust optimization approaches for portfolio selection

For the analysis, two different robust versions of the mean–variance model are considered, together with robust models for conditional value-at- ...

Robust Mean-Conditional Value at Risk Portfolio Optimization

One of the widely used approaches to deal with such a situation, is robust optimization. In this paper we study the robust models of the mean-Conditional Value ...

Equivalence of robust VaR and CVaR optimization

We build on recent research that brings developments in robust optimization to bear on portfolio selection under data ambiguity. Robust ...

[PDF] Robust Mean-Conditional Value at Risk Portfolio Optimization

In the portfolio optimization, the goal is to distribute the fixed capital on a set of investment opportunities to maximize return while managing risk.

PORTFOLIO OPTIMIZATION WITH CONDITIONAL VALUE-AT-RISK ...

Multiple CVaR constraints with various confidence levels can be used to shape the profit/loss distribution. A case study for the portfolio of S&P 100 stocks is ...

Robust Optimization with Applications to Conditional Value-at-Ris...

A good characteristic of the new method is that the robust optimization model retains the complexity of original portfolio optimization problem, ...

PORTFOLIO OPTIMIZATION WITH CONDITIONAL VALUE-AT-RISK ...

Cen- tral to the approach is an optimization technique for calculating VaR and optimizing CVaR simultaneously. This paper extends this approach to the ...

Robust portfolio choice with CVaR and VaR under distribution and ...

(2010) for a computational study of scenario-based CVaR in portfolio optimization. A recent reference work on portfolio optimization (using the mean-variance ...

A Relative Robust CVaR in Portfolio Management - [email protected]

In this paper, we consider the relative robust conditional value-at-risk portfolio selection problem where the underlying probability distribution of portfolio ...

Portfolio Selection Problem Using CVaR Risk Measures Equipped ...

Investors always pay attention to the two factors of return and risk in portfolio optimization. There are different metrics for the ...