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Portfolio selection under VaR constraints

dc.contributor.authorGiannopoulos, Kostas
dc.contributor.authorClark, Ephraim
dc.contributor.authorTunaru, Radu
dc.date.accessioned2015-12-08T13:44:08Z
dc.date.available2015-12-08T13:44:08Z
dc.date.issued2005-03
dc.identifier.issn1619-697X
dc.identifier.urihttp://hdl.handle.net/11728/6408
dc.description.abstractIn 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 in terms of portfolio selection and propose an innovative methodology using conditional VaR that minimizes the VaR at each point of the holding period. We rewrite the optimisation problem by taking into consideration the variability of risk on all assets eligible to be included in the portfolio.en_UK
dc.language.isoenen_UK
dc.publisherSpringer-Verlagen_UK
dc.relation.ispartofseriesComputational Management Science;Volume 2, Issue 2
dc.rights© Springer-Verlag 2006en_UK
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/en_UK
dc.subjectVaRen_UK
dc.subjectPortfolio selectionen_UK
dc.subjectMonte-Carlo simulationen_UK
dc.subjectConditional heteroskedasticityen_UK
dc.titlePortfolio selection under VaR constraintsen_UK
dc.typeArticleen_UK
dc.doi10.1007/s10287-004-0030-9


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© Springer-Verlag 2006
Except where otherwise noted, this item's license is described as © Springer-Verlag 2006