Optimal portfolio selection: The value at risk case

被引：0

作者：

R Bramante

B Cazzaniga

机构：

[1] Laboratory of Applied Statistics,

[2] Università Cattolica del Sacro Cuore,undefined

[3] Lecturer at Milan Catholic University,undefined

来源：

Journal of Asset Management | 2000年 / 1卷 / 2期

关键词：

asset allocation; value at risk; downside risk;

D O I：

10.1057/palgrave.jam.2240010

中图分类号：

学科分类号：

摘要：

In modern portfolio theory, the goal is to maximise the expected return subject to some risk constraint. There is no standard definition of risk. In our approach, we develop an asset allocation model in which the asset candidates to enter the optimal portfolio are chosen in order to meet a shortfall constraint defined as a value at risk limit relative to a specified benchmark, which reflects the potential downside risk of the portfolio.

引用

页码：132 / 137

页数：5

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