bibtype V - Research Report
ARLID 0468834
utime 20240103213339.0
mtime 20170111235959.9
title (primary) (eng) Sparse robust portfolio optimization via NLP regularizations
publisher
place Praha
name ÚTIA AV ČR v. v. i.
pub_time 2016
specification
page_count 19 s.
media_type P
edition
name Research Report
volume_id 2358
keyword Conditional Value-at-Risk
keyword Value-at-Risk
keyword risk measure
author (primary)
ARLID cav_un_auth*0280972
name1 Branda
name2 Martin
full_dept (cz) Ekonometrie
full_dept (eng) Department of Econometrics
department (cz) E
department (eng) E
institution UTIA-B
full_dept Department of Decision Making Theory
country CZ
fullinstit Ústav teorie informace a automatizace AV ČR, v. v. i.
author
ARLID cav_un_auth*0220207
name1 Červinka
name2 Michal
full_dept (cz) Matematická teorie rozhodování
full_dept Department of Decision Making Theory
department (cz) MTR
department MTR
institution UTIA-B
full_dept Department of Decision Making Theory
fullinstit Ústav teorie informace a automatizace AV ČR, v. v. i.
author
ARLID cav_un_auth*0332700
name1 Schwartz
name2 A.
country DE
source
url http://library.utia.cas.cz/separaty/2016/E/branda-0468834.pdf
cas_special
project
ARLID cav_un_auth*0294967
project_id GA13-01930S
agency GA ČR
country CZ
project
ARLID cav_un_auth*0321507
project_id GA15-00735S
agency GA ČR
abstract (eng) We deal with investment problems where we minimize a risk measure under a condition on the sparsity of the portfolio. Various risk measures are considered including Value-at-Risk and Conditional Value-at-Risk under normal distribution of returns and their robust counterparts are derived under moment conditions, all leading to nonconvex objective functions. We propose four solution approaches: a mixed-integer formulation, a relaxation of an alternative mixed-integer reformulation and two NLP regularizations. In a numerical study, we compare their computational performance on a large number of simulated instances taken from the literature.
abstract (eng) We deal with investment problems where we minimize a risk measure\nunder a condition on the sparsity of the portfolio. Various risk measures\nare considered including Value-at-Risk and Conditional Value-at-Risk\nunder normal distribution of returns and their robust counterparts are\nderived under moment conditions, all leading to nonconvex objective\nfunctions. We propose four solution approaches: a mixed-integer formulation,\na relaxation of an alternative mixed-integer reformulation and\ntwo NLP regularizations. In a numerical study, we compare their computational\nperformance on a large number of simulated instances taken\nfrom the literature.
RIV BB
reportyear 2017
num_of_auth 3
mrcbC52 4 O 4o 20231122142157.0
inst_support RVO:67985556
permalink http://hdl.handle.net/11104/0266849
cooperation
ARLID cav_un_auth*0340903
name Matematicko-fyzikalni fakulta UK
institution MFF UK
cooperation
ARLID cav_un_auth*0340904
name Fakulta socialnich ved UK
institution FSV UK
cooperation
ARLID cav_un_auth*0340905
name Technische Universitaet Darmstadt
country DE
confidential S
arlyear 2016
mrcbTft \nSoubory v repozitáři: 0468834.pdf
mrcbU10 2016
mrcbU10 Praha ÚTIA AV ČR v. v. i.