Optimal selection of a portfolio of options under value-at-risk constraints: a scenario approach

DOI10.1007/s10479-009-0636-yzbMath1209.91171OpenAlexW2010574779MaRDI QIDQ2430628

Yanyan Li

Publication date: 8 April 2011

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://cris.maastrichtuniversity.nl/ws/files/6360396/2010_SchynsCramaH_bner_AOR.pdf

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Mixed integer programming (90C11) Portfolio theory (91G10)

Related Items (2)

Risk management with multiple VaR constraints ⋮ Nonconcave Optimal Investment with Value-at-Risk Constraint: An Application to Life Insurance Contracts

Uses Software

• RiskMetrics

Cites Work

• The pricing of options on an interval binomial tree. An application to the DAX-index option market
• Scenario optimization
• Simulation and optimization approaches to scenario tree generation
• Optimal portfolios under a value-at-risk constraint
• Discretized reality and spurious profits in stochastic programming models for asset/liability management
• Duality and martingales: a stochastic programming perspective on contingent claims
• Coherent Measures of Risk
• Financial Asset-Pricing Theory and Stochastic Programming Models for Asset/Liability Management: A Synthesis
• Scenario generation and stochastic programming models for asset liability management
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