Discrete level-bundle method for mean-CVaR portfolio optimization with cardinality constraint

Li-Ping Pang; Shuangyu Li

doi:10.1007/s11075-024-01947-0

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Discrete level-bundle method for mean-CVaR portfolio optimization with cardinality constraint

Li-Ping Pang Shuangyu Li

Year: 2024 Journal: Numerical Algorithms Vol: 99 (4)Pages: 2137-2172 Publisher: Springer Science+Business Media

DOI: 10.1007/s11075-024-01947-0

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Keywords:

CVAR Mathematics Theory of computation Cardinality (data modeling) Constraint (computer-aided design) Portfolio Mathematical optimization Portfolio optimization Bundle Applied mathematics Computer science Expected shortfall Algorithm Economics Geometry Finance

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Risk and Portfolio Optimization

Social Sciences → Decision Sciences → Management Science and Operations Research

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Stochastic processes and financial applications

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Discrete level-bundle method for mean-CVaR portfolio optimization with cardinality constraint

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