Portfolio Optimization with Nonparametric Value at Risk: A Block Coordinate Descent Method

Xueting Cui, Xiaoling Sun, Shushang Zhu, Rujun Jiang, Duan Li

Abstract: In this paper, we investigate a portfolio optimization methodology using nonparametric value at risk (VaR). In particular, we adopt kernel VaR and quadratic VaR as risk measures. As the resulting m...