Static and dynamic VaR constrained portfolios with application to delegated portfolio management (Q5746724): Difference between revisions

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+W1975610191
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+Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis
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+An Application of Chance Constrained Programming to Portfolio Selection in a Casualty Insurance Firm
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+Chance-Constrained Programming
@@ Property / cites work: Chance-Constrained Programming / rank @@
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+Risk Aversion in Chance Constrained Portfolio Selection
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+Second-order cone programming
@@ Property / cites work: Second-order cone programming / rank @@
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+An Active Set Method for Single-Cone Second-Order Cone Programs
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+Applications of second-order cone programming
@@ Property / cites work: Applications of second-order cone programming / rank @@
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+Lectures on Stochastic Programming
@@ Property / cites work: Lectures on Stochastic Programming / rank @@
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+Delegated portfolio management
@@ Property / cites work: Delegated portfolio management / rank @@
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+Safety First and the Holding of Assets
@@ Property / cites work: Safety First and the Holding of Assets / rank @@
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+Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation
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+Robust Portfolio Selection Problems
@@ Property / cites work: Robust Portfolio Selection Problems / rank @@
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+Publication:5746724