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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

Conditional Value at Risk and Related Linear Programming Models for Portfolio Optimization   (Citations: 3)
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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 real-life data.
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    • ...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 Guastarobaet 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 worst-case CVaR type in (31) have recently been utilized in [14]...

    R. Tyrrell Rockafellaret al. Generalized deviations in risk analysis

    • ...7 The weak-inequality version has recently been dubbed \risk relevance" in [14]...

    R. Tyrrell Rockafellaret al. Master funds in portfolio analysis with general deviation measures

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