Practical algorithms for value-at-risk portfolio optimization problems

Mingbin Feng, Andreas Waechter, Jeremy C Staum

Research output: Contribution to journalArticle

Abstract

This article compares algorithms for solving portfolio optimization problems involving value-at-risk (VaR). These problems can be formulated as mixed integer programs (MIPs) or as chance-constrained mathematical programs (CCMPs). We propose improvements to their state-of-the-art MIP formulations. We also specialize an algorithm for solving general CCMPs, featuring practical interpretations. We present numerical experiments on practical-scale VaR problems using various algorithms and provide practical advice for solving these problems.
Original languageEnglish (US)
Pages (from-to)1-9
Number of pages9
JournalQuantitative Finance Letters
Volume3
Issue number1
StatePublished - 2015

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