{"title":"A Closed-Form Solution of the Black-Litterman Model with Conditional Value at Risk","authors":"Tao Pang, Cagatay Karan","doi":"10.2139/ssrn.2862165","DOIUrl":null,"url":null,"abstract":"Abstract We consider a portfolio optimization problem of the Black–Litterman type, in which we use the conditional value-at-risk (CVaR) as the risk measure and we use the multi-variate elliptical distributions, instead of the multi-variate normal distribution, to model the financial asset returns. We propose an approximation algorithm and establish the convergence results. Based on the approximation algorithm, we derive a closed-form solution of the portfolio optimization problems of the Black–Litterman type with CVaR.","PeriodicalId":246078,"journal":{"name":"OPER: Computational Techniques (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2017-04-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"12","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"OPER: Computational Techniques (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.2862165","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 12
Abstract
Abstract We consider a portfolio optimization problem of the Black–Litterman type, in which we use the conditional value-at-risk (CVaR) as the risk measure and we use the multi-variate elliptical distributions, instead of the multi-variate normal distribution, to model the financial asset returns. We propose an approximation algorithm and establish the convergence results. Based on the approximation algorithm, we derive a closed-form solution of the portfolio optimization problems of the Black–Litterman type with CVaR.
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