Title :
A Method for Solving a CVaR Optimization
Author :
Zhang, Maojun ; Nan, Jiangxia
Author_Institution :
Dept. of Econ., Dalian Univ. of Technol., Dalian
Abstract :
In this paper, a financial optimization problem with a CVaR constraint is studied, and a frame work for solving this problem is presented via Monte Carlo simulation. Moreover, a optimal condition and a confident interval of the optimal value are given. An example of portfolio optimization is presented and a numerical algorithm is given.
Keywords :
Monte Carlo methods; financial management; optimisation; CVaR constraint; Monte Carlo simulation; conditional value-at-risk; financial optimization problem; portfolio optimization; Constraint optimization; Distribution functions; Educational institutions; Extraterrestrial measurements; Functional programming; Investments; Optimization methods; Portfolios; Reactive power; Stochastic processes;
Conference_Titel :
Wireless Communications, Networking and Mobile Computing, 2008. WiCOM '08. 4th International Conference on
Conference_Location :
Dalian
Print_ISBN :
978-1-4244-2107-7
Electronic_ISBN :
978-1-4244-2108-4
DOI :
10.1109/WiCom.2008.2360
