Operations Research: International Conference Series
Vol. 6 No. 2 (2025): Operations Research International Conference Series (ORICS), June 2025

Indirect Methods for Personalized Mean-CVaR Portfolio Optimization

Setyawan, Deva Putra (Unknown)
Salih, Yasir (Unknown)

Article Info

Publish Date
30 Jun 2025

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.

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Journal Info
Operations Research: International Conference Series
Website

Abbrev

Orics

Publisher

Indonesian Operations Research Association

Subject

Computer Science & IT Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Engineering Mathematics

Description

Operations Research: International Conference Series (ORICS) is published 4 times a year and is the flagship journal of the Indonesian Operational Research Association (IORA). It is the aim of ORICS to present papers which cover the theory, practice, history or methodology of OR. However, since OR ...