| Article ID: | iaor20132690 |
| Volume: | 205 |
| Issue: | 1 |
| Start Page Number: | 203 |
| End Page Number: | 212 |
| Publication Date: | May 2013 |
| Journal: | Annals of Operations Research |
| Authors: | Iyengar Garud, Ma Alfred |
| Keywords: | portfolio selection |
We propose an iterative gradient descent algorithm for solving scenario‐based Mean‐CVaR portfolio selection problem. The algorithm is fast and does not require any LP solver. It also has efficiency advantage over the LP approach for large scenario size.