Risk management techniques in portfolio optimization : weighted conditional value at risk.
LP computable risk measures can be solved using LP solver and become more popular recently. CVaR is a LP computable risk measure, it is the tightest convex approximation of VaR. In this report, we also focus on WCVaR model, which is the weighted sum of CVaR measures at difference confidence levels....
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| Other Authors: | |
| Format: | Final Year Project (FYP) |
| Language: | English |
| Published: |
2008
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| Online Access: | http://hdl.handle.net/10356/14566 |
| _version_ | 1826127060304658432 |
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| author | Fu, Jingyu. |
| author2 | Chua, Chek Beng |
| author_facet | Chua, Chek Beng Fu, Jingyu. |
| author_sort | Fu, Jingyu. |
| collection | NTU |
| description | LP computable risk measures can be solved using LP solver and become more popular recently. CVaR is a LP computable risk measure, it is the tightest convex approximation of VaR. In this report, we also focus on WCVaR model, which is the weighted sum of CVaR measures at difference
confidence levels. We study the theoretical properties of CVaR and WCVaR, develop the algorithm WCVaRMin to solve WCVaR problem, and test the performance of risk models and algorithm using real life data. |
| first_indexed | 2024-10-01T07:02:35Z |
| format | Final Year Project (FYP) |
| id | ntu-10356/14566 |
| institution | Nanyang Technological University |
| language | English |
| last_indexed | 2024-10-01T07:02:35Z |
| publishDate | 2008 |
| record_format | dspace |
| spelling | ntu-10356/145662023-02-28T23:16:59Z Risk management techniques in portfolio optimization : weighted conditional value at risk. Fu, Jingyu. Chua, Chek Beng School of Physical and Mathematical Sciences Meng, Fanwen DRNTU::Science::Mathematics::Applied mathematics::Optimization LP computable risk measures can be solved using LP solver and become more popular recently. CVaR is a LP computable risk measure, it is the tightest convex approximation of VaR. In this report, we also focus on WCVaR model, which is the weighted sum of CVaR measures at difference confidence levels. We study the theoretical properties of CVaR and WCVaR, develop the algorithm WCVaRMin to solve WCVaR problem, and test the performance of risk models and algorithm using real life data. Bachelor of Science in Mathematical Sciences 2008-12-29T01:40:35Z 2008-12-29T01:40:35Z 2008 2008 Final Year Project (FYP) http://hdl.handle.net/10356/14566 en 58 p. application/pdf |
| spellingShingle | DRNTU::Science::Mathematics::Applied mathematics::Optimization Fu, Jingyu. Risk management techniques in portfolio optimization : weighted conditional value at risk. |
| title | Risk management techniques in portfolio optimization : weighted conditional value at risk. |
| title_full | Risk management techniques in portfolio optimization : weighted conditional value at risk. |
| title_fullStr | Risk management techniques in portfolio optimization : weighted conditional value at risk. |
| title_full_unstemmed | Risk management techniques in portfolio optimization : weighted conditional value at risk. |
| title_short | Risk management techniques in portfolio optimization : weighted conditional value at risk. |
| title_sort | risk management techniques in portfolio optimization weighted conditional value at risk |
| topic | DRNTU::Science::Mathematics::Applied mathematics::Optimization |
| url | http://hdl.handle.net/10356/14566 |
| work_keys_str_mv | AT fujingyu riskmanagementtechniquesinportfoliooptimizationweightedconditionalvalueatrisk |