This article is cited in 4 papers

Topical issue

Algorithm to solve the generalized Markowitz problem

A. I. Kibzun, A. I. Chernobrovov

Moscow State Aviation Institute, Moscow, Russia

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.

Presented by the member of Editorial Board: A. V. Nazin

Received: 15.06.2010

 English version: Automation and Remote Control, 2011, 72:2, 289–304

Bibliographic databases:

• 
• 
• 
•