运筹与管理2017，Vol.26Issue(4)：158-164,7.DOI:10.12005/orms.2017.0096
基于CVaR投资组合优化问题的光滑化方法
A Smoothing Method for Portfolio Optimization Based on CVaR
摘要
Abstract
Portfolio investment on the given risky assets is considered in this paper.At first,we develop a CVaR model for the single phase portfolio optimization problem,using CVaR as the risk measure.Noticing that both multi-integral and plus function are contained in the objective function,we convert multi-integral calculation into summation operator by producing a scenario matrix.Then,we propose a new consistent smooth approximating function of the plus function and give a smoothing method for solving CVaR model at the same time.Finally,we give two empirical studies which illustrate the superiority of our algorithm.关键词
投资组合优化/条件风险价值/光滑化方法Key words
portfolio optimization/conditional value-at-risk(CVaR)/smoothing method分类
管理科学引用本文复制引用
张清叶,高岩..基于CVaR投资组合优化问题的光滑化方法[J].运筹与管理,2017,26(4):158-164,7.基金项目
国家自然科学基金项目(11171221) （11171221）
上海市一流学科项目(XTKX2012) （XTKX2012）
上海市研究生创新基金项目(JWXCXSL1401) （JWXCXSL1401）
