DocumentCode
3039104
Title
Mean Conditional Value-at-Risk Model for Portfolio Optimization
Author
Gao, Jianwei ; Liu, Lufang
Author_Institution
Sch. of Bus. Adm., North China Electr. Power Univ., Beijing, China
fYear
2009
fDate
24-26 July 2009
Firstpage
246
Lastpage
250
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.
Keywords
investment; linear programming; risk analysis; density function; linear programming; mean conditional value-at-risk model; optimal portfolio selection problem; portfolio optimization; risk factors; Business continuity; Density functional theory; Financial management; Investments; Linear programming; Portfolios; Power engineering and energy; Probability distribution; Reactive power; Risk management; Conditional Value-at-Risk; investment strategy; portfolio;
fLanguage
English
Publisher
ieee
Conference_Titel
Business Intelligence and Financial Engineering, 2009. BIFE '09. International Conference on
Conference_Location
Beijing
Print_ISBN
978-0-7695-3705-4
Type
conf
DOI
10.1109/BIFE.2009.64
Filename
5208893
Link To Document