• Home
• Library
• DRO home

Non-smooth optimization methods for computation of the conditional value-at-risk and portfolio optimization Beliakov, Gleb and Bagirov, Adil 2006, Non-smooth optimization methods for computation of the conditional value-at-risk and portfolio optimization, Optimization, vol. 55, no. 5&6, pp. 459-479. Attached Files Name Description MIMEType Size Downloads beliakov-nonsmoothoptimization-2006.pdf Author's post print application/pdf 228.23KB 196 Title Non-smooth optimization methods for computation of the conditional value-at-risk and portfolio optimization Author(s) Beliakov, Gleb Bagirov, Adil Journal name Optimization Volume number 55 Issue number 5&6 Start page 459 End page 479 Publisher Taylor & Francis Place of publication London, England Publication date 2006-10 ISSN 1029-4945 0233-1934 Keyword(s) mathematics subject classifications 2000 90C05 90C30 90C56 91B28 Summary We examine numerical performance of various methods of calculation of the Conditional Value-at-risk (CVaR), and portfolio optimization with respect to this risk measure. We concentrate on the method proposed by Rockafellar and Uryasev in (Rockafellar, R.T. and Uryasev, S., 2000, Optimization of conditional value-at-risk. Journal of Risk, 2, 21-41), which converts this problem to that of convex optimization. We compare the use of linear programming techniques against a non-smooth optimization method of the discrete gradient, and establish the supremacy of the latter. We show that non-smooth optimization can be used efficiently for large portfolio optimization, and also examine parallel execution of this method on computer clusters. Notes This is an electronic version of an article published in Optimization, Volume 55, Issue 5 & 6 2006 , pages 459 - 479 Optimization is available online at: http://www.informaworld.com/openurl?genre=article&issn=1029-4945&volume=55&issue=5&6&spage=459 Language eng Field of Research 010303 Optimisation HERDC Research category C1.1 Refereed article in a scholarly journal Copyright notice ©2006, Taylor & Francis Persistent URL http://hdl.handle.net/10536/DRO/DU:30015938 Document type: Journal Article Collections: School of Engineering and Information Technology Open Access Collection Related Links Link Description Connect to published version (restricted access) Go to link with your DU access privileges     Unless expressly stated otherwise, the copyright for items in DRO is owned by the author, with all rights reserved. Every reasonable effort has been made to ensure that permission has been obtained for items included in DRO. If you believe that your rights have been infringed by this repository, please contact drosupport@deakin.edu.au. Versions Version Filter Type Tue, 18 Nov 2008, 14:28:36 EST Tue, 18 Nov 2008, 14:34:01 EST Tue, 18 Nov 2008, 14:35:07 EST Tue, 18 Nov 2008, 14:39:45 EST Wed, 04 Feb 2009, 14:02:22 EST Mon, 27 Apr 2009, 11:50:11 EST Mon, 27 Apr 2009, 11:51:05 EST Thu, 11 Jun 2009, 15:20:54 EST Fri, 24 Jul 2009, 16:37:53 EST Mon, 27 Jul 2009, 17:19:04 EST Fri, 16 Oct 2009, 15:08:21 EST Filtered Full Citation counts:   Cited 2 times in TR Web of Science Cited 3 times in Scopus Search Google Scholar Access Statistics: 485 Abstract Views, 209 File Downloads  -  Detailed Statistics Created: Tue, 18 Nov 2008, 14:28:34 EST by Gabrielle Lamb

Every reasonable effort has been made to ensure that permission has been obtained for items included in DRO. If you believe that your rights have been infringed by this repository, please contact drosupport@deakin.edu.au.