Portfolio selection under VaR constraints

DOI10.1007/S10287-004-0030-9zbMATH Open1133.91418OpenAlexW1979420522MaRDI QIDQ2477611FDOQ2477611

Authors: Kostas Giannopoulos, Ephraim Clark, Radu Tunaru 

Publication date: 14 March 2008

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10287-004-0030-9

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zbMATH Keywords

conditional heteroskedasticityMonte Carlo simulationportfolio selectionvalue-at-risk

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82) Portfolio theory (91G10)

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• The generalized value at risk admissible set: constraint consistency and portfolio outcomes
• Intradaily dynamic portfolio selection
• Optimal Dynamic Trading Strategies with Risk Limits
• Proper Conditioning for Coherent VaR in Portfolio Management
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• Portfolio selection problem: a review of deterministic and stochastic multiple objective programming models
• Mean-VaR portfolio selection under real constraints
• Optimal selection of a portfolio of options under value-at-risk constraints: a scenario approach
• Portfolio selection based on semivariance and distance correlation under minimum variance framework
• Value-at-risk based portfolio optimization
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• Portfolio selection problem with multiple risky assets under the constant elasticity of variance model
• Portfolio choices and VaR constraint with a defaultable asset
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• Flexible shrinkage in portfolio selection
• Consistent modeling of risk averse behavior with spectral risk measures

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