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Central European Journal of Operations Research

, Volume 20, Issue 4, pp 623–632 | Cite as

CVaR minimization by the SRA algorithm

  • Kolos Cs. ÁgostonEmail author
Original Paper

Abstract

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.

Keywords

Risk measure CVaR Stochastic programming Numerical optimization 

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Copyright information

© Springer-Verlag 2011

Authors and Affiliations

  1. 1.Corvinus University of BudapestBudapestHungary

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