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Keywords
(9)
Conditional Value at Risk
Experimental Analysis
Multiple Criteria
Portfolio Optimization
Random Variable
Risk Aversion
Risk Measure
Linear Program
Mean Absolute Deviation
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Conditional Value at Risk and Related Linear Programming Models for Portfolio Optimization
Conditional Value at Risk and Related Linear Programming Models for Portfolio Optimization,Renata Mansini,Wodzimierz Ogryczak,M. Grazia Speranza
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Conditional Value at Risk and Related Linear Programming Models for Portfolio Optimization
(
Citations: 3
)
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Renata Mansini
,
Wodzimierz Ogryczak
,
M. Grazia Speranza
Many risk measures have been recently introduced which (for discrete random variables) result in Linear Programming (LP) models. While some LP computable risk measures may be viewed as approximations to the variance (e..g., the
mean absolute deviation
or the Gini's mean absolute dif ference), shortfall or quantile risk measures are recently gaining more popularity in various nancial applications. In this paper we study LP solvable
portfolio optimization
models based on extensions of the
Conditional Value at Risk
(CVaR) measure. The models use multiple CVaR measures thus allowing for more detailed
risk aversion
modeling. We study both the theoretical properties of the models and their performance on reallife data.
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www.ia.pw.edu.pl
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Citation Context
(3)
...Whereas some of these LP computable measures, as the mean absolute deviation proposed by Konno and Yamazaki (1991), may be viewed as approximations to the variance, more recently the shortfall or quantile measures are gaining more popularity in variousfinancial applications (see
Mansini et al. 2003, 2005
and references therein)...
...and gross portfolio rate of return is due to the presence of transaction costs and to the formulaadoptedtoconverttheratesofreturnonyearlybasis.Thenumberofsecurities intheportfolios(div.)islowerthaninotherexperimentscarriedoutonthesamemodel (see for instance
Mansini et al. (2005)
)...
Gianfranco Guastaroba
,
et al.
Models and Simulations for Portfolio Rebalancing
...we used this simpler term for the strict version, but have since thought better of it. The weak version has recently been called “risk relevance” in [
14
], and this could be a still better term, but referring to a “risk relevant risk measure” seems awkward...
...There are echoes of the relationships in Theorem 2 in [13], [
14
], but those researchers focus on several examples rather than axiomatic definitions and proofs...
...Risk measures of the special worstcase CVaR type in (31) have recently been utilized in [
14
]...
R. Tyrrell Rockafellar
,
et al.
Generalized deviations in risk analysis
...7 The weakinequality version has recently been dubbed \risk relevance" in [
14
]...
R. Tyrrell Rockafellar
,
et al.
Master funds in portfolio analysis with general deviation measures
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Citations
(3)
Models and Simulations for Portfolio Rebalancing
(
Citations: 2
)
Gianfranco Guastaroba
,
Renata Mansini
,
M. Grazia Speranza
Journal:
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(
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Master funds in portfolio analysis with general deviation measures
(
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R. Tyrrell Rockafellar
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Stan Uryasev
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Michael Zabarankin
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