Portfolio optimization based on value-at-risk

MaRDI QIDQ2937122zbMATH OpenFDO

Authors Ilie Marinescu

Publication date 7 January 2015

zbMATH Keywords

conditional value at riskinvestment analysisstochastic optimizationvalue at risk

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10) Statistical methods; risk measures (91G70)

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(6)

• Utilizing risk minimization for portfolio management
• Portfolio optimization under partial uncertainty and incomplete information: a probability multimeasure-based approach
• Portfolio selection under VaR constraints
• Portfolio optimization with disutility-based risk measure
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• scientific article; zbMATH DE number 2221036 (Why is no real title available?)

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