The Boosted Difference of Convex Functions Algorithm for Value-at-Risk Constrained Portfolio Optimization

By Marah-Lisanne Thormann, Phan Tu Vuong, Alain Zemkoho

Published 2024-02-14

Everscope rating

1451.3

Relevance to quantitative trading

9 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Boosted Difference of Convex Functions Algorithm (BDCA). Problem types: Portfolio Optimization, Risk Management.

arXiv:2402.09194 · Code · Paper rankings

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