CVaR minimization by the SRA algorithm
| Data(s) |
2011
|
|---|---|
| Resumo |
Using the risk measure CV aR in �nancial 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. |
| Formato |
application/pdf |
| Identificador |
http://unipub.lib.uni-corvinus.hu/315/1/cvar_sra_2011_feb_21.pdf Ágoston, Kolos (2011) CVaR minimization by the SRA algorithm. Central European Journal of Operations Research . DOI 10.1007/s10100-011-0194-7 <http://dx.doi.org/10.1007/s10100-011-0194-7> (In Press) |
| Publicador |
Springer |
| Relação |
http://unipub.lib.uni-corvinus.hu/315/ http://www.springerlink.com/content/l5787772u445l122/ 10.1007/s10100-011-0194-7 10.1007/s10100-011-0194-7 |
| Palavras-Chave | #Mathematics, Econometrics |
| Tipo |
Article PeerReviewed |
| Idioma(s) |
en en |
