Portfolio optimization by minimizing Conditional Value-at-Risk via nondifferentiable optimization

Computational Optimization and Applications

Volumn 46, Issue 3, 2010, Pages 391-415

  Lim, Churlzu ^a   Sherali, Hanif D ^b   Uryasev, Stan ^c  

^a UNIVERSITY OF NORTH CAROLINA AT CHARLOTTE   (United States)

^b Virginia Polytechnic Institute and State University   (United States)

^c J Crayton Pruitt Family Department of Biomedical Engineering   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

ADDITIVITY; COMMERCIAL SOFTWARE; CONDITIONAL VALUE-AT-RISK; DIRECT USE; FINITE CONVERGENCE; LINEAR PROGRAMS; LP FORMULATIONS; MINIMIZATION PROBLEMS; NON-DIFFERENTIABLE OPTIMIZATION; OPTIMALITY; OPTIMIZATION TECHNIQUES; PORTFOLIO EVALUATION; PORTFOLIO OPTIMIZATION; SECOND PHASE; STAND -ALONE; SWITCHOVER; TARGET VALUES; THIRD PHASE; THREE PHASE;

FINANCIAL DATA PROCESSING; VALUE ENGINEERING;

OPTIMIZATION;

EID: 77954959818     PISSN: 09266003     EISSN: 15732894     Source Type: Journal    
DOI: 10.1007/s10589-008-9196-3     Document Type: Article

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