- Title
- Non-smooth optimization methods for computation of the conditional value-at-risk and portfolio optimization
- Creator
- Beliakov, Gleb; Bagirov, Adil
- Date
- 2006
- Type
- Text; Journal article
- Identifier
- http://researchonline.federation.edu.au/vital/access/HandleResolver/1959.17/58344
- Identifier
- vital:106
- Identifier
-
https://doi.org/10.1080/02331930600816353
- Identifier
- ISSN:0233-1934
- Identifier
- http://dro.deakin.edu.au/eserv/DU:30015938/beliakov-nonsmooth-post-2006.pdf
- Abstract
- We examine numerical performance of various methods of calculation of the Conditional Value-at-risk (CVaR), and portfolio optimization with respect to this risk measure. We concentrate on the method proposed by Rockafellar and Uryasev in (Rockafellar, R.T. and Uryasev, S., 2000, Optimization of conditional value-at-risk. Journal of Risk, 2, 21-41), which converts this problem to that of convex optimization. We compare the use of linear programming techniques against a non-smooth optimization method of the discrete gradient, and establish the supremacy of the latter. We show that non-smooth optimization can be used efficiently for large portfolio optimization, and also examine parallel execution of this method on computer clusters. © 2006 Taylor & Francis.; C1
- Publisher
- Taylor and Francis
- Relation
- Optimization Vol. 55, no. 5-6 (2006), p. 459-479
- Rights
- Copyright Taylor & Francis
- Rights
- Open access
- Rights
- This metadata is freely available under a CCO license
- Subject
- 0103 Numerical and Computational Mathematics; Conditional value-at-risk; Expected shortfall; Non-smooth optimization; Numerical optimization; Portfolio optimization
- Full Text
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