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Risk sensitive portfolio optimization

✍ Scribed by Lukasz Stettner


Publisher
Springer
Year
1999
Tongue
English
Weight
115 KB
Volume
50
Category
Article
ISSN
0340-9422

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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