Robust and Reliable Portfolio Optimization Formulation of a Chance Constrained Problem

Robust and Reliable Portfolio Optimization Formulation of a Chance Constrained Problem

We solve a linear chance constrained portfolio optimization problem using Robust Optimization (RO) method wherein financial script/asset loss return distributions are considered as extreme valued. The objective function is a convex combination of portfolio’s CVaR and expected value of loss return, s...

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Bibliographic Details
Main Authors: Sengupta Raghu Nandan, Kumar Rakesh
Format: Article
Language:English
Published: Sciendo 2017-02-01
Series:Foundations of Computing and Decision Sciences
Subjects:
risk management
investment analysis
robust optimization
conditional value at risk (cvar)
extreme value distribution
Online Access:https://doi.org/10.1515/fcds-2017-0004

Internet

https://doi.org/10.1515/fcds-2017-0004

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