Research Article
CVaR Robust Mean-CVaR Portfolio Optimization
Table 3
Time required to compute maximum-return (
) portfolios for LP and smoothing approach (
,
).
| | Scenarios (T) | Samples (m) | LP (problem (22)) | Smoothing (problem (26)) | | 8 assets | 50 assets | 148 assets | 8 assets | 50 assets | 148 assets |
| | 500 | 5,000 | 3.01 | 5.7 | 23.05 | 1.13 | 3.08 | 15.67 | | 1,000 | 10,000 | 4.85 | 9.95 | 37.2 | 1.28 | 4.67 | 26.1 | | 3,000 | 25,000 | 13.86 | 45.32 | 185.49 | 1.69 | 12.22 | 79.31 |
|
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