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 language | English (US) |
|---|---|
| Pages (from-to) | 1-9 |
| Number of pages | 9 |
| Journal | Quantitative Finance Letters |
| Volume | 3 |
| Issue number | 1 |
| State | Published - 2015 |