Accelerated Portfolio Optimization with Conditional Value-at-Risk Constraints using a Cutting-Plane Method

Financial portfolios are often optimized for maximum profit while subject to a constraint formulated in terms of the Conditional Value-at-Risk (CVaR). This amounts to solving a linear problem. However, in its original formulation this linear problem has a very large number of linear constraints, too...

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Bibliographic Details
Main Author Hofmann, Georg
Format Journal Article
LanguageEnglish
Published 12.08.2014
Subjects
Mathematics - Optimization and Control
Quantitative Finance - Portfolio Management
Statistics - Applications
Online AccessGet full text

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