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Algorithm to solve the generalized Markowitz problem

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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.

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Authors and Affiliations

  1. Moscow State Aviation Institute, Moscow, Russia

    A. I. Kibzun & A. I. Chernobrovov

Authors
  1. A. I. Kibzun
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  2. A. I. Chernobrovov
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Original Russian Text © A.I. Kibzun, A.I. Chernobrovov, 2011, published in Avtomatika i Telemekhanika, 2011, No. 2, pp. 77–92.

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Kibzun, A.I., Chernobrovov, A.I. Algorithm to solve the generalized Markowitz problem. Autom Remote Control 72, 289–304 (2011). https://doi.org/10.1134/S0005117911020081

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