𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Portfolio Value at Risk Bounds

✍ Scribed by Elisa Luciano; Marina Marena


Book ID
111754042
Publisher
John Wiley and Sons
Year
2002
Tongue
English
Weight
161 KB
Volume
9
Category
Article
ISSN
0969-6016

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


VALUE-AT-RISK MODELS AND OPTION PORTFOLI
✍ CHRISTINE BROWN; ROSEMARY CHAN πŸ“‚ Article πŸ“… 1999 πŸ› Economic Society of Australia 🌐 English βš– 911 KB
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