Optimal Dynamic Portfolio with Mean-CVaR Criterion
نویسندگان
چکیده
منابع مشابه
Optimal Dynamic Portfolio with Mean-CVaR Criterion
Value-at-risk (VaR) and conditional value-at-risk (CVaR) are popular risk measures from academic, industrial and regulatory perspectives. The problem of minimizing CVaR is theoretically known to be of a Neyman–Pearson type binary solution. We add a constraint on expected return to investigate the mean-CVaR portfolio selection problem in a dynamic setting: the investor is faced with a Markowitz ...
متن کاملCVaR Robust Mean - CVaR Portfolio Optimization
One of the most important problems faced by every investor is asset allocation. An investor during making investment decisions has to search for equilibrium between risk and returns. Risk and return are uncertain parameters in the suggested portfolio optimization models and should be estimated to solve theproblem. The estimation might lead to large error in the final decision. One of t...
متن کاملGrowth-Optimal Portfolio Selection under CVaR Constraints
Online portfolio selection research has so far focused mainly on minimizing regret defined in terms of wealth growth. Practical financial decision making, however, is deeply concerned with both wealth and risk. We consider online learning of portfolios of stocks whose prices are governed by arbitrary (unknown) stationary and ergodic processes, where the goal is to maximize wealth while keeping ...
متن کاملPerformance-based regularization in mean-CVaR portfolio optimization
Regularization is a technique widely used to improve the stability of solutions to statistical problems. We propose a new regularization concept, performance-based regularization (PBR), for data-driven stochastic optimization. The goal is to improve upon Sample Average Approximation (SAA) in finite-sample performance while maintaining minimal assumptions about the data. We apply PBR to mean-CVa...
متن کاملSupply Chain Coordination with CVaR Criterion
We study the coordination of supply chains with a risk-neutral supplier and a risk-averse retailer. Different from the downside risk setting, in a conditional value-at-risk (CVaR) framework, we show that the supply chain can be coordinated with the revenue-sharing, buy-back, two-part tariff and quantity flexibility contracts. Furthermore the revenuesharing contracts are still equivalent to the ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Risks
سال: 2013
ISSN: 2227-9091
DOI: 10.3390/risks1030119