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Avtomatika i Telemekhanika, 2011, Issue 2, Pages 77–92
(Mi at1287)
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This article is cited in 4 scientific papers (total in 4 papers)
Topical issue
Algorithm to solve the generalized Markowitz problem
A. I. Kibzun, A. I. Chernobrovov Moscow State Aviation Institute, Moscow, Russia
Abstract:
A relation between the VaR and CVaR criteria was established in terms of income and loss. Consideration was given to the generalized Markowitz problem, and an algorithm to solve it approximately for the piecewise-linear and bilinear income functions was presented. An analytical solution was given for the case of the scalar bilinear income function under a uniform distribution of income. A numerical algorithm was presented to solve the problem in the case of multivariable bilinear income function under normal distribution of incomes.
Citation:
A. I. Kibzun, A. I. Chernobrovov, “Algorithm to solve the generalized Markowitz problem”, Avtomat. i Telemekh., 2011, no. 2, 77–92; Autom. Remote Control, 72:2 (2011), 289–304
Linking options:
https://www.mathnet.ru/eng/at1287 https://www.mathnet.ru/eng/at/y2011/i2/p77
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Statistics & downloads: |
Abstract page: | 1137 | Full-text PDF : | 242 | References: | 72 | First page: | 58 |
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