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Portfolio optimization under entropic risk management

✍ Scribed by Wei Zhong

Publisher
Institute of Mathematics, Chinese Academy of Sciences and Chinese Mathematical Society
Year
2009
Tongue
English
Weight
272 KB
Volume
25
Category
Article
ISSN
1439-7617

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Optimal portfolios under a value-at-risk
Optimal portfolios under a value-at-risk constraint
✍ 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