CVaR minimization by the SRA algorithm

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Article ID:	iaor20126347
Volume:	20
Issue:	4
Start Page Number:	623
End Page Number:	632
Publication Date:	Dec 2012
Journal:	Central European Journal of Operations Research
Authors:	goston Kolos
Keywords:	risk, optimization, heuristics

Abstract:

Using the risk measure CVaR in financial analysis has become more and more popular recently. In this paper we apply CVaR for portfolio optimization. The problem is formulated as a two‐stage stochastic programming model, and the SRA algorithm, a recently developed heuristic algorithm, is applied for minimizing CVaR.

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