英文标题：
《Accelerated Portfolio Optimization with Conditional Value-at-Risk
  Constraints using a Cutting-Plane Method》
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作者：
Georg Hofmann
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最新提交年份：
2014
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英文摘要：
  Financial portfolios are often optimized for maximum profit while subject to a constraint formulated in terms of the Conditional Value-at-Risk (CVaR). This amounts to solving a linear problem. However, in its original formulation this linear problem has a very large number of linear constraints, too many to be enforced in practice. In the literature this is addressed by a reformulation of the problem using so-called dummy variables. This reduces the large number of constraints in the original linear problem at the cost of increasing the number of variables. In the context of reinsurance portfolio optimization we observe that the increase in variable count can lead to situations where solving the reformulated problem takes a long time. Therefore we suggest a different approach. We solve the original linear problem with cutting-plane method: The proposed algorithm starts with the solution of a relaxed problem and then iteratively adds cuts until the solution is approximated within a preset threshold. This is a new approach. For a reinsurance case study we show that a significant reduction of necessary computer resources can be achieved.
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中文摘要：
金融投资组合通常为实现最大利润而优化，同时受到条件风险价值（CVaR）的约束。这相当于解决一个线性问题。然而，在其原始公式中，该线性问题有大量的线性约束，太多而无法在实践中实施。在文献中，这是通过使用所谓的虚拟变量对问题进行重新表述来解决的。这以增加变量数量为代价，减少了原始线性问题中的大量约束。在再保险投资组合优化的背景下，我们观察到，可变计数的增加可能导致解决重新制定的问题需要很长时间的情况。因此，我们建议采用不同的方法。我们用割平面法求解原始线性问题：该算法从松弛问题的解开始，然后迭代添加割，直到解在预设阈值内近似。这是一种新方法。对于再保险案例研究，我们表明可以显著减少必要的计算机资源。
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分类信息：

一级分类：Mathematics        数学
二级分类：Optimization and Control        优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Statistics        统计学
二级分类：Applications        应用程序
分类描述：Biology, Education, Epidemiology, Engineering, Environmental Sciences, Medical, Physical Sciences, Quality Control, Social Sciences
生物学，教育学，流行病学，工程学，环境科学，医学，物理科学，质量控制，社会科学
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