Robust scenario-based value-at-risk optimization

被引：0
|
作者：
Oleksandr Romanko
Helmut Mausser
机构：
[1] IBM,Quantitative Research Group, Risk Analytics, Business Analytics
来源：
Annals of Operations Research | 2016年 / 237卷
关键词：
Risk management; Value-at-risk; Optimization; Algorithms; Robustness;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
This paper develops and tests a heuristic algorithm for scenario-based value-at-risk (VaR) optimization. Due to the high computational complexity of VaR optimization, conditional value-at-risk-based proxies are utilized for VaR objectives. It is shown that our heuristic algorithm obtains robust results with low computational complexity.
引用
收藏
页码：203 / 218
页数：15
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