Dynamic Portfolio Optimization under CVaR Constraints

By Anran Hu, Silvana M. Pesenti, Xiaofei Shi

Published 2026-08-20

Everscope rating

1840.8

Relevance to quantitative trading

9 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Dual-based Nested Bisection-Golden-Search Algorithm. Problem types: Portfolio Optimization, Risk Management, Optimization, Constrained Stochastic Control, Convex Optimization.

arXiv:2608.20179 · Code · Paper rankings

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