A novel hybrid algorithm for mean-CVaR portfolio selection with real-world constraints
(2014)
Journal Article
Qin, Q., Li, L., & Cheng, S. (2014). A novel hybrid algorithm for mean-CVaR portfolio selection with real-world constraints. Lecture Notes in Artificial Intelligence, 8795, https://doi.org/10.1007/978-3-319-11897-0_38
In this paper, we employ the Conditional Value at Risk (CVaR) to measure the portfolio risk, and propose a mean-CVaR portfolio selection model. In addition, some real-world constraints are considered. The constructed model is a non-linear discrete op... Read More about A novel hybrid algorithm for mean-CVaR portfolio selection with real-world constraints.