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Threshold value of the penalty parameter in the minimization of $L_1$-penalized conditional value-at-risk
1. | Centre for Industrial and Applied Mathematics, University of South Australia, Mawson Lakes, SA 5095, Australia |
2. | CSIRO Mathematics, Informatics and Statistics, North Ryde, NSW, Australia |
References:
[1] |
S. Alexander, T. F. Coleman and Y. Li, Derivative portfolio hedging based on CVaR,, in, (2004), 339.
|
[2] |
S. Alexander, T. F. Coleman and Y. Li, Minimizing CVaR and VaR for a portfolio of derivatives,, Journal of Banking and Finance, 30 (2006), 583.
doi: 10.1016/j.jbankfin.2005.04.012. |
[3] |
K. A. Boyle, T. F. Coleman and Y. Li, Hedging a portfolio of derivatives by modeling cost,, in, (2003).
|
[4] |
Z. G. Cao, R. D. F. Harris and J. Shen, Hedging and value at risk: A semi-parametric approach,, Journal of Futures Markets, 30 (2010), 780. Google Scholar |
[5] |
G. B. Dantzig, "Linear Programming and Extensions,", Princeton: Princeton University Press, (1963).
|
[6] |
C. I. Fabian, Handling CVaR objectives and constraints in two-stage stochastic models,, European Journal of Operational Research, 191 (2008), 888.
doi: 10.1016/j.ejor.2007.02.052. |
[7] |
R. D. F. Harris and J. Shen, Hedging and value at risk,, Journal of Futures Markets, 26 (2006), 369.
doi: 10.1002/fut.20195. |
[8] |
D. Huang, S. Zhu, F. J Fabozzi and M. Fukushima, Portfolio selelction under distributional uncertainty: a relative robust CVaR approach,, European Journal of Operational Research, 203 (2010), 185.
doi: 10.1016/j.ejor.2009.07.010. |
[9] |
H. Mausser and D. Rosen, Beyond VaR: From measuring risk to managing risk,, ALGO Research Quarterly, 1 (1998), 5. Google Scholar |
[10] |
R. T. Rockafellar and S. Uryasev, Optimization of conditional value at risk,, Journal of Risk, 2 (2000), 21. Google Scholar |
[11] |
R. T. Rockafellar and S. Uryasev, Conditional value at risk for general loss distributions,, Journal of Banking and Finance, 26 (2002), 1443.
doi: 10.1016/S0378-4266(02)00271-6. |
[12] |
K. Ruan and M. Fukushima, Robust portfolio selection with a combined WCVaR and factor model,, Journal of Industrial and Management Optimization, 8 (2012), 343.
doi: 10.3934/jimo.2012.8.343. |
[13] |
T. Tarnopolskaya, J. Tabak and F. R. de Hoog, L-curve for hedging instrument selection in CVaR-minimising portfolio hedging,, in, (2009), 1559.
|
[14] |
N. Topaloglou, H. Vladimirou and S. A. Zenios, CVaR models with selective hedging for international asset allocation,, Journal of Banking and Finance, 26 (2002), 1535.
doi: 10.1016/S0378-4266(02)00289-3. |
[15] |
S. P. Uryasev and R. T. Rockafellar, Conditional value-at-risk: Optimization approach,, Stochastic Optimization: Algorithms and Applications, 54 (2001), 411.
|
show all references
References:
[1] |
S. Alexander, T. F. Coleman and Y. Li, Derivative portfolio hedging based on CVaR,, in, (2004), 339.
|
[2] |
S. Alexander, T. F. Coleman and Y. Li, Minimizing CVaR and VaR for a portfolio of derivatives,, Journal of Banking and Finance, 30 (2006), 583.
doi: 10.1016/j.jbankfin.2005.04.012. |
[3] |
K. A. Boyle, T. F. Coleman and Y. Li, Hedging a portfolio of derivatives by modeling cost,, in, (2003).
|
[4] |
Z. G. Cao, R. D. F. Harris and J. Shen, Hedging and value at risk: A semi-parametric approach,, Journal of Futures Markets, 30 (2010), 780. Google Scholar |
[5] |
G. B. Dantzig, "Linear Programming and Extensions,", Princeton: Princeton University Press, (1963).
|
[6] |
C. I. Fabian, Handling CVaR objectives and constraints in two-stage stochastic models,, European Journal of Operational Research, 191 (2008), 888.
doi: 10.1016/j.ejor.2007.02.052. |
[7] |
R. D. F. Harris and J. Shen, Hedging and value at risk,, Journal of Futures Markets, 26 (2006), 369.
doi: 10.1002/fut.20195. |
[8] |
D. Huang, S. Zhu, F. J Fabozzi and M. Fukushima, Portfolio selelction under distributional uncertainty: a relative robust CVaR approach,, European Journal of Operational Research, 203 (2010), 185.
doi: 10.1016/j.ejor.2009.07.010. |
[9] |
H. Mausser and D. Rosen, Beyond VaR: From measuring risk to managing risk,, ALGO Research Quarterly, 1 (1998), 5. Google Scholar |
[10] |
R. T. Rockafellar and S. Uryasev, Optimization of conditional value at risk,, Journal of Risk, 2 (2000), 21. Google Scholar |
[11] |
R. T. Rockafellar and S. Uryasev, Conditional value at risk for general loss distributions,, Journal of Banking and Finance, 26 (2002), 1443.
doi: 10.1016/S0378-4266(02)00271-6. |
[12] |
K. Ruan and M. Fukushima, Robust portfolio selection with a combined WCVaR and factor model,, Journal of Industrial and Management Optimization, 8 (2012), 343.
doi: 10.3934/jimo.2012.8.343. |
[13] |
T. Tarnopolskaya, J. Tabak and F. R. de Hoog, L-curve for hedging instrument selection in CVaR-minimising portfolio hedging,, in, (2009), 1559.
|
[14] |
N. Topaloglou, H. Vladimirou and S. A. Zenios, CVaR models with selective hedging for international asset allocation,, Journal of Banking and Finance, 26 (2002), 1535.
doi: 10.1016/S0378-4266(02)00289-3. |
[15] |
S. P. Uryasev and R. T. Rockafellar, Conditional value-at-risk: Optimization approach,, Stochastic Optimization: Algorithms and Applications, 54 (2001), 411.
|
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