Portfolio optimization: Volatility constraints versus shortfall constraints

DOI10.1007/S002910050083MaRDI QIDQ1283712zbMATH OpenOpenAlexFDO

Authors Dieter Kalin, R. Zagst

Publication date 30 June 1999

Published in OR Spektrum (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s002910050083, https://papers.ssrn.com/sol3/papers.cfm?abstract_id=150691

zbMATH Keywords

benchmarkmean-variance efficient frontierportfolio optimizationshortfall constraintsvalue at riskvolatility constraints

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cited in

(8)

• The optimal portfolio problem with coherent risk measure constraints.
• Integrated portfolio management with options
• On the diversity constraints for portfolio optimization
• scientific article; zbMATH DE number 6719557 (Why is no real title available?)
• Comparing value-at-risk and tail conditional expectation in shortfall-constrained portfolio selection
• scientific article; zbMATH DE number 6834275 (Why is no real title available?)
• How does the choice of Value-at-Risk estimator influence asset allocation decisions?
• Stochastic optimization for allocation problems with shortfall risk constraints

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