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

zbMATH Keywords

conditional heteroskedasticityMonte Carlo simulationportfolio selectionvalue-at-risk

Mathematics Subject Classification ID

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

Recommendations

• Portfolio optimization under VaR constraints based on dynamic estimates of the variance-covariance matrix
• scientific article; zbMATH DE number 1944680
• Mean-VaR portfolio selection under real constraints
• Static and dynamic VaR constrained portfolios with application to delegated portfolio management
• Portfolio optimization based on value-at-risk

Cited in

(26)

• scientific article; zbMATH DE number 1791744 (Why is no real title available?)
• Optimal selection of a portfolio of options under value-at-risk constraints: a scenario approach
• Consistent modeling of risk averse behavior with spectral risk measures
• Mean-univariate GARCH VaR portfolio optimization: actual portfolio approach
• scientific article; zbMATH DE number 7295761 (Why is no real title available?)
• Intradaily dynamic portfolio selection
• Portfolio selection based on semivariance and distance correlation under minimum variance framework
• Portfolio selection problem with multiple risky assets under the constant elasticity of variance model
• Portfolio selection problem: a review of deterministic and stochastic multiple objective programming models
• Value-at-risk based portfolio optimization
• Risk management under a factor stochastic volatility model
• Mean-VaR portfolio selection under real constraints
• Flexible shrinkage in portfolio selection
• On peculiarities of CoVaR-based portfolio selection
• Optimal Dynamic Trading Strategies with Risk Limits
• Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation
• The generalized value at risk admissible set: constraint consistency and portfolio outcomes
• Portfolio risk management with CVaR-like constraints
• scientific article; zbMATH DE number 1944680 (Why is no real title available?)
• Portfolio choices and VaR constraint with a defaultable asset
• Portfolio optimization based on value-at-risk
• Portfolio optimization under VaR constraints based on dynamic estimates of the variance-covariance matrix
• Modeling and solving portfolio selection problems based on PVaR
• Static and dynamic VaR constrained portfolios with application to delegated portfolio management
• Proper Conditioning for Coherent VaR in Portfolio Management
• Economic implications of using a mean-VaR model for portfolio selection: a comparison with mean-variance analysis.

This page was built for publication: Portfolio selection under VaR constraints

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2477611)