Optimizing Optimization: The Next Generation of Optimization Applications and Theory (Quantitative Finance)

More than you ever wanted to know about conditional value at risk optimization 291

Figure 12.2 Optimal CVaR portfolio weights. Minimize CVaR subject to an excess
return target of 78.5 bps per month. Scenarios are taken from the unconditional sector
returns for the period March 1989 – March 2009.

Oil and Gas

Basic Mats

Industrials

Cons Gds

Health Care

Cons Svs

Telecom

Utilities

Financials

Technology

0.0 0.1 0.2 0.3 0.4 0.5

Weight

Figure 12.3 Optimal mean – variance portfolio weights. Minimize CVaR subject to a
required excess target of 78.5 bps per month. Variance estimates are taken from the
unconditional sector returns for the period March 1989 – March 2009.

Oil and Gas

Basic Mats

Industrials

Cons Gds

Health Care

Cons Svs

Telecom

Utilities

Financials

Technology

0.0 0.1 0.2 0.3

Weight