Tuesday, 13:15 - 13:40 h, Room: H 3027


Yuying Li
A novel method for computing an optimal VaR portfolio

Coauthors: Thomas F. Coleman, Jiong Xi


Computing an optimal portfolio with minimum value-at-risk (VaR) is computationally challenging since there are many local minimizers. We consider a nonlinearly constrained optimization formulation directly based on VaR definition in which VaR is defined by a probabilistic inequality constraint. We compute an optimal portfolio using a sequence of smooth approximations to the nonlinear inequality constraint. The proposed sequence of smooth approximations gradually becomes more nonconvex in an attempt to track the global optimal portfolio. Computationally comparisons will be presented to illustrate the accuracy and efficiency of the proposed method.


Talk 1 of the invited session Tue.2.H 3027
"Financial optimization" [...]
Cluster 7
"Finance & economics" [...]


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