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
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DOI - Digital Object Identifier
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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
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
BB - Applied statistics, operational research
OECD FORD branch
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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
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e-ISSN
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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