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All Journal International Journal of Business, Economics, and Social Development International Journal of Research in Community Services Operations Research: International Conference Series International Journal of Global Operations Research
Setyawan, Deva Putra
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Humanities Computer Science & IT Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Energy Engineering Languange, Linguistic, Communication & Media Mathematics Social Sciences Other

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Journal : Operations Research: International Conference Series

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Indirect Methods for Personalized Mean-CVaR Portfolio Optimization Setyawan, Deva Putra; Salih, Yasir
Operations Research: International Conference Series Vol. 6 No. 2 (2025): Operations Research International Conference Series (ORICS), June 2025
Publisher : Indonesian Operations Research Association (IORA)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.47194/orics.v6i2.385

Abstract

This study presents a reformulation of the Personalized Mean-CVaR model into an unconstrained optimization problem, which is then solved using iterative methods, including steepest descent and Newton’s method. The reformulation introduces challenges related to feasibility region checking, convexity of the feasible set and objective functions, and the use of Lagrange multipliers to handle constraints. Additionally, Taylor expansion is utilized to approximate the objective function in each iteration. The research evaluates the effectiveness of iterative optimization techniques in solving the Personalized Mean-CVaR problem, while addressing key challenges in convergence and stability of the solution.
Co-Authors Dwiputra, Muhammad Bintang Eighista Lianingsih, Nestia Salih, Yasir Wahid, Alim Jaizul