Portfolio optimization under the Value-at-Risk constraint (Q3593595): Difference between revisions
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| Property / cites work: Theory of optimal consumption and portfolio selection under a Capital-at-Risk (CaR) and a Value-at-Risk (VaR) constraint / rank | |||
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| Property / cites work: Optimal Dynamic Trading Strategies with Risk Limits / rank | |||
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| Property / cites work: A general version of the fundamental theorem of asset pricing / rank | |||
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| Property / cites work: Optimal Portfolios with Bounded Capital at Risk / rank | |||
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| Property / cites work: Optimal portfolios under a value-at-risk constraint / rank | |||
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Latest revision as of 11:39, 26 June 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Portfolio optimization under the Value-at-Risk constraint |
scientific article |
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Portfolio optimization under the Value-at-Risk constraint (English)
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23 July 2007
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value-at-risk
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utility functions
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portfolio optimization
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portfolio theory
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portfolio management
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