DocumentCode
3467972
Title
A Method for Solving a CVaR Optimization
Author
Zhang, Maojun ; Nan, Jiangxia
Author_Institution
Dept. of Econ., Dalian Univ. of Technol., Dalian
fYear
2008
fDate
12-14 Oct. 2008
Firstpage
1
Lastpage
4
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;
fLanguage
English
Publisher
ieee
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
Type
conf
DOI
10.1109/WiCom.2008.2360
Filename
4680549
Link To Document