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