A novel hybrid algorithm for mean-CVaR portfolio selection with real-world constraints

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A novel hybrid algorithm for mean-CVaR portfolio selection with real-world constraints

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 optimization problem and difficult to solve by the c...

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Bibliographic Details
Main Authors:	Qin, Quande, Li, Li, Cheng, Shi
Format:	Article
Published:	Springer Verlag 2014
Subjects:	Conditional Value at Risk; CVaR; Hybrid algorithm; Port- folio selection
Online Access:	https://eprints.nottingham.ac.uk/47529/

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