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Optimal portfolio selection strategies under some constraints

✍ Scribed by Kui Luo; Guangming Wang; Yijun Hu

Book ID
107531413
Publisher
Wuhan University
Year
2009
Tongue
English
Weight
345 KB
Volume
14
Category
Article
ISSN
1007-1202

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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