value-at-risk

Polymatroids and Mean-Risk Minimization in Discrete Optimization

  • Alper Atamturk
  • Vishnu Narayanan
    • Categories (Mixed) Integer Nonlinear Programming, Graphs and Matroids, Integer Programming Tags , , ,

    In financial markets high levels of risk are associated with large returns as well as large losses, whereas with lower levels of risk, the potential for either return or loss is small. Therefore, risk management is fundamentally concerned with finding an optimal trade-off between risk and return matching an investor’s risk tolerance. Managing risk is … Read more

    Experiments in Robust Portfolio Optimization

  • Daniel Bienstock
    • Categories (Mixed) Integer Nonlinear Programming, Finance and Economics, Robust Optimization Tags , , ,

    We present experimental results on portfolio optimization problems with return errors under the robust optimization framework. We use several a histogram-like model for return deviations, and a model that allows correlation among errors, together with a cutting-plane algorithm which proves effective for large, real-life data sets. CitationColumbia Center for Financial Engineering Report 2007-01 Columbia University, … Read more