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PORTFOLIO OPTIMIZATION UNDER TRACKING ERROR AND WEIGHTS CONSTRAINTS

✍ Scribed by Isabelle Bajeux-Besnainou; Riadh Belhaj; Didier Maillard; Roland Portait

Book ID
111215624
Publisher
John Wiley and Sons
Year
2011
Tongue
English
Weight
296 KB
Volume
34
Category
Article
ISSN
0270-2592

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πŸ“œ SIMILAR VOLUMES

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