PORTFOLIO OPTIMIZATION BASED ON VALUE-AT-RISK

被引：0

作者：

Marinescu, Ilie ^{[1
]}

机构：

[1] Univ Bucharest, Bucharest, Romania

来源：

PROCEEDINGS OF THE ROMANIAN ACADEMY SERIES A-MATHEMATICS PHYSICS TECHNICAL SCIENCES INFORMATION SCIENCE | 2013年 / 14卷 / 03期

关键词：

investment analysis; stochastic optimization; Value at Risk; Conditional Value at Risk; TRANSACTION COSTS; SELECTION; DUALITY;

D O I：

暂无

中图分类号：

O [数理科学和化学]; P [天文学、地球科学]; Q [生物科学]; N [自然科学总论];

学科分类号：

07 ; 0710 ; 09 ;

摘要：

A widely reported and accepted measure of financial risk for industry segments and financial markets, by nature measuring the probability of worst case portfolio performance, is the Value at Risk (VaR) measure. We will consider an additional constraint based on the Expers' judgments that will help us to find a better solution.

引用

页码：187 / 192

页数：6

共 14 条

[1] Efficient solution concepts and their relations in stochastic multiobjective programming [J].

Caballero, R ;

Cerdá, E ;

Muñoz, MM ;

Rey, L ;

Stancu-Minasian, IM .

JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS, 2001, 110 (01) :53-74

[2] Tail estimation and mean-VaR portfolio selection in markets subject to financial instability [J].

Consigli, G .

JOURNAL OF BANKING & FINANCE, 2002, 26 (07) :1355-1382

[3]

Dash J.K., 2009, INT J OPTIM THEORY M, V1, P58

[4]

Embrechts P., 1997, MODELING EXTREMAL EV

[5] Mean-absolute deviation portfolio optimization model under transaction costs [J].

Konno, H ;

Wijayanayake, A .

JOURNAL OF THE OPERATIONS RESEARCH SOCIETY OF JAPAN, 1999, 42 (04) :422-435

[6] Portfolio optimization problem under concave transaction costs and minimal transaction unit constraints [J].

Konno, H ;

Wijayanayake, A .

MATHEMATICAL PROGRAMMING, 2001, 89 (02) :233-250

[7] Optimal portfolio selection of assets with transaction costs and no short sales [J].

Li, ZF ;

Li, ZX ;

Wang, SY ;

Deng, XT .

INTERNATIONAL JOURNAL OF SYSTEMS SCIENCE, 2001, 32 (05) :599-607

[8] ON SUFFICIENCY AND DUALITY FOR GENERALIZED QUASI-CONVEX PROGRAMS [J].

PREDA, V .

JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS, 1994, 181 (01) :77-88

[9] ON NONLINEAR-PROGRAMMING AND MATRIX GAME EQUIVALENCE [J].

PREDA, V .

JOURNAL OF THE AUSTRALIAN MATHEMATICAL SOCIETY SERIES B-APPLIED MATHEMATICS, 1994, 35 :429-438

[10]

Preda Vasile, 2010, Proceedings of the WSEAS International Conference. 12th WSEAS Int. Conf. on Mathematical Methods, Computational Techniques and Intelligent Systems (MAMECTIS 2010). Mathematical Methods, Computational Techniques, Intelligent Systems, P143

← 1 2 →