A smoothing method for solving portfolio optimization with CVaR and applications in allocation of generation asset

Applied Mathematics and Computation

Volumn 216, Issue 6, 2010, Pages 1723-1740

  Tong, Xiaojiao ^a   Qi, Liqun ^b   Wu, Felix ^c   Zhou, Hui ^d  

^a CHANGSHA UNIVERSITY OF SCIENCE AND TECHNOLOGY   (China)

^b HONG KONG POLYTECHNIC UNIVERSITY   (Hong Kong)

^c UNIVERSITY OF HONG KONG   (Hong Kong)

^d HUAZHONG UNIVERSITY OF SCIENCE AND TECHNOLOGY   (China)

Author keywords

Allocation of generation asset; Conditional value at risk (CVaR); Portfolio optimization; Smoothing method

Indexed keywords

COMPUTATION EFFICIENCY; CONDITIONAL VALUE-AT-RISK; GENERATION ASSETS; GLOBAL CONVERGENCE; NEW APPROACHES; NUMBER OF SAMPLES; NUMERICAL EXAMPLE; NUMERICAL RESULTS; OPTIMIZATION MODELS; PORTFOLIO OPTIMIZATION; POWER MARKETS; SEMISMOOTHNESS; SMOOTHING METHODS; SQP ALGORITHM;

COMPUTATIONAL EFFICIENCY; CONVERGENCE OF NUMERICAL METHODS; FINANCIAL DATA PROCESSING; LINEARIZATION; NUMERICAL ANALYSIS; OPTIMIZATION; PROFITABILITY; VALUE ENGINEERING;

LINEAR PROGRAMMING;

EID: 77953138876     PISSN: 00963003     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.amc.2009.12.031     Document Type: Article

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