Portfolio selection under VaR constraints

DOI10.1007/s10287-004-0030-9zbMath1133.91418OpenAlexW1979420522MaRDI QIDQ2477611

Ephraim Clark, Radu S. Tunaru, Kostas Giannopoulos

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

zbMATH Keywords

Monte Carlo simulationconditional heteroskedasticityvalue-at-riskportfolio selection

Mathematics Subject Classification ID

Related Items (3)

Portfolio selection problem: a review of deterministic and stochastic multiple objective programming models ⋮ Intradaily dynamic portfolio selection ⋮ Consistent modeling of risk averse behavior with spectral risk measures

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