Academic Journal
A penalty decomposition algorithm for the extended mean-variance-CVaR portfolio optimization problem
| العنوان: | A penalty decomposition algorithm for the extended mean-variance-CVaR portfolio optimization problem |
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| المؤلفون: | Hamdi, A., Khodamoradi, T., Salahi, M. |
| بيانات النشر: | World Scientific |
| المجموعة: | Qatar University: QU Institutional Repository |
| مصطلحات موضوعية: | cardinality constraint, Mean-variance-CVaR model, penalty decomposition method, short selling, transaction costs |
| الوصف: | In this paper, we study mean-variance-Conditional Value-At-Risk (CVaR) portfolio optimization problem with short selling, cardinality constraint and transaction costs. To tackle its mixed-integer quadratic optimization model for large number of scenarios, we take advantage of the penalty decomposition method (PDM). It needs solving a quadratic optimization problem and a mixed-integer linear program at each iteration, where the later one has explicit optimal solution. The convergence of PDM to a partial minimum of original problem is proved. Finally, numerical experiments using the S&P index for 2020 are conducted to evaluate efficiency of the proposed algorithm in terms of return, variance and CVaR gaps and CPU times. 2023 World Scientific Publishing Company. ; Scopus |
| نوع الوثيقة: | article in journal/newspaper |
| اللغة: | English |
| Relation: | http://dx.doi.org/10.1142/S1793830923500210; http://hdl.handle.net/10576/47860 |
| DOI: | 10.1142/S1793830923500210 |
| الاتاحة: | http://hdl.handle.net/10576/47860 https://doi.org/10.1142/S1793830923500210 |
| رقم الانضمام: | edsbas.CB89D924 |
| قاعدة البيانات: | BASE |
| DOI: | 10.1142/S1793830923500210 |
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