ScholarLens Back to search
2009•Unpublished venueRequires access

Mean Conditional Value-at-Risk Model for Portfolio Optimization

Jianwei Gao, Lufang Liu

Open publisher page 2 citations

Abstract

We focus on the optimal portfolio selection problem where the objective function is expressed by mean Conditional value-at-risk (mean-CVaR). In general, since the density function of underlying risk factors is not available, and then the calculation of CVaR is rather difficult and can not derive the optimal solution. Therefore, we propose the mean-CVaR portfolio optimization model to deal with the problem, which can be simplified to linear programming. Finally, an example is provided to examine the model.

About this research paper

What this paper is about

We focus on the optimal portfolio selection problem where the objective function is expressed by mean Conditional value-at-risk (mean-CVaR). In general, since the density function of underlying risk factors is not available, and then the calculation of CVaR is rather difficult and can not derive the optimal solution. Therefore, we propose the mean-CVaR portfolio optimization model to deal with the problem, which can be simplified to linear programming. Finally, an example is provided to examine the model.

Why it matters

OpenAlex reports 2 citations for this work. Citation counts describe recorded attention and do not establish research quality.

Key contribution

A contribution statement is not available in the OpenAlex record.

Method / approach

Method details are not available in the OpenAlex metadata.

Main findings

Findings are not separately available in the OpenAlex metadata.

Limitations

Limitations are not available in the OpenAlex metadata.

Applications

Application details are not available in the OpenAlex metadata.

Available abstract

We focus on the optimal portfolio selection problem where the objective function is expressed by mean Conditional value-at-risk (mean-CVaR). In general, since the density function of underlying risk factors is not available, and then the calculation of CVaR is rather difficult and can not derive the optimal solution. Therefore, we propose the mean-CVaR portfolio optimization model to deal with the problem, which can be simplified to linear programming. Finally, an example is provided to examine the model.

Key concepts: CVAR, Expected shortfall, Portfolio, Portfolio optimization, Mathematical optimization, Selection (genetic algorithm), Linear programming, Computer science

Related papers

Related paper 1Related paper 2Related paper 3
Back to paper searchBrowse research topicsOriginal source
Mean Conditional Value-at-Risk Model for Portfolio Optimization — Research Paper | ScholarLens