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A chance constrained investment problem with portfolio variance and skewness criteria - solution technique based on the Successive Iterative Regularization

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F16%3A10326688" target="_blank" >RIV/00216208:11320/16:10326688 - isvavai.cz</a>

  • Result on the web

  • DOI - Digital Object Identifier

Alternative languages

  • Result language

    angličtina

  • Original language name

    A chance constrained investment problem with portfolio variance and skewness criteria - solution technique based on the Successive Iterative Regularization

  • Original language description

    We deal with an investment problem, where the variance of a portfolio is minimized and at the same time the skewness is maximized. Moreover, we impose a chance (probabilistic) constraint on the portfolio return which must be fulfilled with a high probability. This leads to a difficult nonconvex multiobjective stochastic programming problem. Under discretely distributed returns, this problem can be solved using the CCP-SIR solver (Chance Constrained Problems: Successive Iterative Regularization) which has been recently introduced by Adam and Branda [1]. This algorithm relies on a relaxed nonlinear programming problem and its regularized version obtained by enlarging the set of feasible solutions using regularizing functions. These both formulations as well as the solution technique are discussed in details. We report the results for a real life portfolio problem of a small investor. We compare the CCP-SIR solver with BONMIN applied to the deterministic mixed-integer reformulation.

  • Czech name

  • Czech description

Classification

  • Type

    D - Article in proceedings

  • CEP classification

    BB - Applied statistics, operational research

  • OECD FORD branch

Result continuities

  • Project

    <a href="/en/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamic Models in Economics</a><br>

  • Continuities

    P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Others

  • Publication year

    2016

  • Confidentiality

    S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Data specific for result type

  • Article name in the collection

    34TH INTERNATIONAL CONFERENCE MATHEMATICAL METHODS IN ECONOMICS (MME 2016)

  • ISBN

    978-80-7494-296-9

  • ISSN

  • e-ISSN

  • Number of pages

    6

  • Pages from-to

    67-72

  • Publisher name

    Technical University of Liberec

  • Place of publication

    Liberec

  • Event location

    Liberec, Czech Republic

  • Event date

    Sep 6, 2016

  • Type of event by nationality

    WRD - Celosvětová akce

  • UT code for WoS article

    000385239500012