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Optimal portfolio choice under a liability constraint

✍ Scribed by Leszek S. Zaremba; Włodzimierz H. Smoleński


Book ID
110380686
Publisher
Springer US
Year
2000
Tongue
English
Weight
106 KB
Volume
97
Category
Article
ISSN
0254-5330

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Optimal portfolios under a value-at-risk
✍ K.F.C. Yiu 📂 Article 📅 2004 🏛 Elsevier Science 🌐 English ⚖ 568 KB

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 fulÿl the requirement of regulators on market risks. The value-at-risk constraint is derived for n risky assets plus a risk-free asset an