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Portfolio adjusting optimization under credibility measures

✍ Scribed by Xili Zhang; Wei-Guo Zhang; Ruichu Cai


Publisher
Elsevier Science
Year
2010
Tongue
English
Weight
281 KB
Volume
234
Category
Article
ISSN
0377-0427

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Optimal portfolios under a value-at-risk
✍ K.F.C. Yiu πŸ“‚ Article πŸ“… 2004 πŸ› Elsevier Science 🌐 English βš– 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 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