This paper looks at the optimal portfolio problem when a value-at-risk constraint is imposed. This provides a way to control risks in the optimal portfolio and to fulΓΏl the requirement of regulators on market risks. The value-at-risk constraint is derived for n risky assets plus a risk-free asset an
β¦ LIBER β¦
Distribution assumptions and risk constraints in portfolio optimization
β Scribed by Dietmar G. Maringer
- Publisher
- Springer-Verlag
- Year
- 2005
- Tongue
- English
- Weight
- 173 KB
- Volume
- 2
- Category
- Article
- ISSN
- 1619-697X
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