CVaR minimization by the SRA algorithm
  • Metaadatok
Tartalom: http://unipub.lib.uni-corvinus.hu/315/
Archívum: Corvinus Kutatások
Gyűjtemény: Status = In Press
Subject = Mathematics, Econometrics
Type = Article
Cím:
CVaR minimization by the SRA algorithm
Létrehozó:
Ágoston, Kolos
Kiadó:
Springer
Dátum:
2011
Téma:
Mathematics, Econometrics
Tartalmi leírás:
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.
Nyelv:
angol
angol
Típus:
Article
PeerReviewed
Formátum:
application/pdf
Azonosító:
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)
Kapcsolat:
10.1007/s10100-011-0194-7
10.1007/s10100-011-0194-7