However, enforcing multivariate stochastic dominance constraints can often be overly conservative in practice. As an alternative, we focus on the widely applied risk measure conditional value-at-risk ...

We investigate risk-averse stochastic optimization problems with a risk-shaping constraint in the form of a stochastic-order relation. Both univariate and multivariate orders are considered. We extend ...

LyondellBasell Industries operated one of the largest refineries in the U.S.—located in Houston, Texas (U.S.), just off the ...

Abstract ABSTRACT This paper considers long-short portfolio optimization in the presence of two risk measures (variance and conditional value-at-risk (CVaR)), and asset choice constraints regarding ...

In this paper the authors investigate how fixed-fee transaction costs affect portfolio rebalancing.

Did you consider yourself a mathematician the last time you sat down to solve a Sudoku puzzle? It’s certainly a mentally ...

All because many investors had learned about portfolio risk, but not really learned that when you mix portfolio optimization with constraints and lever the mixture it becomes toxic and explosive.