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Portfolio Optimization under Lower Partial Risk Measures

✍ Scribed by Hiroshi Konno; Hayato Waki; Atsushi Yuuki


Book ID
110416524
Publisher
Springer
Year
2002
Tongue
English
Weight
119 KB
Volume
9
Category
Article
ISSN
1573-6946

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πŸ“œ SIMILAR VOLUMES


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