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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Main Author: Fu, Jingyu.
Other Authors: Chua, Chek Beng
Format: Final Year Project
Language:English
Published: 2008
Subjects:
Online Access:http://hdl.handle.net/10356/14566
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Institution: Nanyang Technological University
Language: English
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spelling sg-ntu-dr.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
institution Nanyang Technological University
building NTU Library
continent Asia
country Singapore
Singapore
content_provider NTU Library
collection DR-NTU
language English
topic DRNTU::Science::Mathematics::Applied mathematics::Optimization
spellingShingle DRNTU::Science::Mathematics::Applied mathematics::Optimization
Fu, Jingyu.
Risk management techniques in portfolio optimization : weighted conditional value at risk.
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.
author2 Chua, Chek Beng
author_facet Chua, Chek Beng
Fu, Jingyu.
format Final Year Project
author Fu, Jingyu.
author_sort Fu, Jingyu.
title 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_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_sort risk management techniques in portfolio optimization : weighted conditional value at risk.
publishDate 2008
url http://hdl.handle.net/10356/14566
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