Browsing by Subject "VaR"

Now showing items 1-1 of 1

  • Portfolio selection under VaR constraints 

    Giannopoulos, Kostas; Clark, Ephraim; Tunaru, Radu (Springer-Verlag, 2005-03)
    In this paper we show that by assuming a constant variance/covariance matrix over the holding period, the VaR limits can often be exceeded within the relevant horizon period. To minimize this risk, we formulate the problem ...