CVaR minimization by the SRA algorithm
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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.
KeywordsRisk measure CVaR Stochastic programming Numerical optimization
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