Portfolio Optimization with Nonparametric Value at Risk: A Block Coordinate Descent Method

doi:10.1287/ijoc.2017.0793

CORC > 上海财经大学 > 上海财经大学

	Portfolio Optimization with Nonparametric Value at Risk: A Block Coordinate Descent Method
	Cui, Xueting 1; Sun, Xiaoling 2; Zhu, Shushang 3; Jiang, Rujun 4; Li, Duan 5
刊名	INFORMS JOURNAL ON COMPUTING
	2018-06
卷号	30 期号:3 页码:454-471
关键词	portfolio selection nonparametric VaR kernel BCD method
ISSN号	1091-9856
DOI	10.1287/ijoc.2017.0793
英文摘要	In this paper, we investigate a portfolio optimization methodology using non-parametric value at risk (VaR). In particular, we adopt kernel VaR and quadratic VaR as risk measures. As the resulting models are nonconvex and nonsmooth optimization problems, albeit with some special structures, we propose some specially devised block coordinate descent (BCD) methods for finding approximate or local optimal solutions. Computational results show that the BCD methods are efficient for finding local solutions with good quality and they compare favorably with the branch-and-bound method-based global optimal solution procedures. From the simulation test and empirical analysis that we carry out, we are able to conclude that the mean-VaR models using kernel VaR and quadratic VaR are more robust compared to those using historical VaR or parametric VaR under the normal distribution assumption, especially when the information of the return distribution is limited.
WOS研究方向	Computer Science ; Operations Research & Management Science
语种	英语
出版者	INFORMS
WOS记录号	WOS:000449096000004
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/597]
专题	上海财经大学
通讯作者	Cui, Xueting
作者单位	1.Shanghai Univ Finance & Econ, Sch Math, Shanghai 200433, Peoples R China; 2.Fudan Univ, Sch Management, Dept Management Sci, Shanghai 200433, Peoples R China; 3.Sun Yat Sen Univ, Sun Yat Sen Business Sch, Dept Finance & Investment, Guangzhou 510275, Guangdong, Peoples R China; 4.Fudan Univ, Sch Data Sci, Shanghai 200433, Peoples R China; 5.City Univ Hong Kong, Coll Business, Dept Management Sci, Kowloon, Hong Kong, Peoples R China
推荐引用方式 GB/T 7714	Cui, Xueting,Sun, Xiaoling,Zhu, Shushang,et al. Portfolio Optimization with Nonparametric Value at Risk: A Block Coordinate Descent Method[J]. INFORMS JOURNAL ON COMPUTING,2018,30(3):454-471.
APA	Cui, Xueting,Sun, Xiaoling,Zhu, Shushang,Jiang, Rujun,&Li, Duan.(2018).Portfolio Optimization with Nonparametric Value at Risk: A Block Coordinate Descent Method.INFORMS JOURNAL ON COMPUTING,30(3),454-471.
MLA	Cui, Xueting,et al."Portfolio Optimization with Nonparametric Value at Risk: A Block Coordinate Descent Method".INFORMS JOURNAL ON COMPUTING 30.3(2018):454-471.