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Optimal portfolio selection in a Value-at-Risk framework

✍ Scribed by Rachel Campbell; Ronald Huisman; Kees Koedijk

Book ID
117528279
Publisher
Elsevier Science
Year
2001
Tongue
English
Weight
185 KB
Volume
25
Category
Article
ISSN
0378-4266

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πŸ“œ SIMILAR VOLUMES

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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

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We consider the optimal portfolio selection problem subject to a maximum value-at-Risk (MVaR) constraint when the price dynamics of the risky asset are governed by a Markov-modulated geometric Brownian motion (GBM). Here, the market parameters including the market interest rate of a bank account, th