Optimal portfolios under a value-at-risk
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K.F.C. Yiu
📂
Article
📅
2004
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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