A cross-entropy method for value-at-risk constrained optimization

Authors:
Duc Manh Nguyen;Hoai An Le Thi;Tao Pham Dinh
Affiliations:
LMI, INSA of Rouen, Mont Saint Aignan, France;Laboratory of Theoretical and Applied Computer Science, University of Paul Verlaine - Metz, Metz, France;LMI, INSA of Rouen, Mont Saint Aignan, France
Venue:
ACIIDS'11 Proceedings of the Third international conference on Intelligent information and database systems - Volume Part II
Year:
2011

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Abstract

In this paper, we consider a portfolio optimization problem with a Value-at-Risk constraint. It is a nonconvex nonsmooth optimization problem which is very hard to solve. We propose an approach based on the Cross-Entropy (CE) method to tackle it. The numerical results show the efficiency of our approach.