๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

Portfolio optimization under the Value-at-Risk constraint

โœ Scribed by Pirvu, Traian A.

Book ID
127258016
Publisher
Taylor and Francis Group
Year
2007
Tongue
English
Weight
231 KB
Volume
7
Category
Article
ISSN
1469-7688

No coin nor oath required. For personal study only.

๐Ÿ“œ SIMILAR VOLUMES

Optimal portfolios under a value-at-risk
Optimal portfolios under a value-at-risk constraint
โœ K.F.C. Yiu ๐Ÿ“‚ Article ๐Ÿ“… 2004 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 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 fulรฟl the requirement of regulators on market risks. The value-at-risk constraint is derived for n risky assets plus a risk-free asset an

Optimal portfolios with regime switching
Optimal portfolios with regime switching and value-at-risk constraint
โœ Ka-Fai Cedric Yiu; Jingzhen Liu; Tak Kuen Siu; Wai-Ki Ching ๐Ÿ“‚ Article ๐Ÿ“… 2010 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 591 KB

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