scholarly journals Formulation of the Non-Parametric Value at Risk Portfolio Selection Problem Considering Symmetry

Symmetry ◽  
2020 ◽  
Vol 12 (10) ◽  
pp. 1639
Author(s):  
Dazhi Wang ◽  
Yanhua Chen ◽  
Hongfeng Wang ◽  
Min Huang
Keyword(s):  
At Risk ◽  
Portfolio Selection ◽  
Value At Risk ◽  
Computation Time ◽  
Pso Algorithm ◽  
Selection Problem ◽  
Mixed Integer ◽  
Optimal Solutions ◽  
Portfolio Selection Problem ◽  
Non Parametric

In this research, we study the non-parametric portfolio selection problem with Value at Risk (VaR) minimization and establish a new enhanced Mixed Integer Linear Programming (MILP) formulation to obtain the optimal solutions considering the symmetric property of VaR. We identify that the new MILP formulation can significantly reduce the computation burden of the MILP solver CPLEX. To solve larger-scale practical portfolio selection problems in reasonable computation time, we also develop the Particle Swarm Optimization (PSO) algorithm integrating an efficient Fast Feasible Solution Detection (FFSD) scheme to obtain the near-optimal solutions. Using the simulated datasets with different distribution parameters and skewness and kurtosis patterns, some preliminary numerical results are provided to show the efficiency of the new formulation and FFSD scheme.

scholarly journals Mean-value at risk portfolio selection problem using clustering technique : A case study

2019 ◽  
Author(s):  
Sheshma Kiran Kumari ◽  
P. Kumar ◽  
J. Priya ◽  
S. Surya ◽  
A. K. Bhurjee
Keyword(s):  
At Risk ◽  
Portfolio Selection ◽  
Value At Risk ◽  
Mean Value ◽  
Selection Problem ◽  
Portfolio Selection Problem ◽  
Clustering Technique

scholarly journals Multi-stage stochastic model in portfolio selection problem

Filomat ◽  
2018 ◽  
Vol 32 (3) ◽  
pp. 991-1001
Author(s):  
Shokoofeh Banihashemi ◽  
Ali Azarpour ◽  
Marziye Kaveh
Keyword(s):  
At Risk ◽  
Portfolio Selection ◽  
Value At Risk ◽  
Risk Measures ◽  
Risk Measure ◽  
Selection Problem ◽  
Conditional Value At Risk ◽  
Expected Return ◽  
Portfolio Selection Problem ◽  
Multi Stage

This paper is a novel work of portfolio-selection problem solving using multi objective model considering four parameters, Expected return, downside beta coefficient, semivariance and conditional value at risk at a specified confidence level. Multi-period models can be defined as stochastic models. Early studies on portfolio selection developed using variance as a risk measure; although, theories and practices revealed that variance, considering its downsides, is not a desirable risk measure. To increase accuracy and overcoming negative aspects of variance, downside risk measures like semivarinace, downside beta covariance, value at risk and conditional value at risk was other risk measures that replaced in models. These risk measures all have advantages over variance and previous works using these parameters have shown improvements in the best portfolio selection. Purposed models are solved using genetic algorithm and for the topic completion, numerical example and plots to measure the performance of model in four dimensions are provided.

scholarly journals A Reference Point Approach to Bi-Objective Dynamic Portfolio Optimization

2009 ◽  
Vol 3 (2) ◽  
pp. 73-85 ◽  
Author(s):  
Bartosz Sawik
Keyword(s):  
Portfolio Selection ◽  
Reference Point ◽  
Stock Exchange ◽  
Integer Program ◽  
Selection Problem ◽  
Mixed Integer ◽  
Mixed Integer Program ◽  
Expected Return ◽  
Portfolio Selection Problem ◽  
Dynamic Portfolio Optimization

The portfolio selection problem presented in this paper is formulated as a biobjective mixed integer program. The portfolio selection problem considered is based on a dynamic model of investment, in which the investor buys and sells securities in successive investment periods. The problem objective is to dynamically allocate the wealth on different securities to optimize by reference point method the portfolio expected return and the probability that the return is not less than a required level. In computational experiments the dataset of daily quotations from the Warsaw Stock Exchange were used.

A DOWNSIDE RISK APPROACH FOR THE PORTFOLIO SELECTION PROBLEM WITH FUZZY RETURNS

2004 ◽  
Vol 09 (01) ◽  
Author(s):  
Teresa León ◽  
Vicente Liern ◽  
Paulina Marco ◽  
Enriqueta Vercher ◽  
José Vicente Segura
Keyword(s):  
Portfolio Selection ◽  
Downside Risk ◽  
Selection Problem ◽  
Portfolio Selection Problem ◽  
Risk Approach

Non-Parametric Future Looking Value-at-Risk

2011 ◽  
Author(s):  
Anders Wilhelmsson ◽  
Marcus Nossman
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Non Parametric
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