Value-at-risk based portfolio optimization
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Publication:2752040
zbMATH Open1016.91059MaRDI QIDQ2752040FDOQ2752040
Authors: Amy V. Puelz 
Publication date: 13 August 2003
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- Portfolio selection under VaR constraints
- A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem
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- Does marginal VaR lead to improved performance of managed portfolios: a study of S\&P BSE 100 and S\&P BSE 200
- In search of robust methods for multi-currency portfolio construction by value at risk
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- How does the choice of Value-at-Risk estimator influence asset allocation decisions?
- Risk management under a factor stochastic volatility model
- Mean-variance-VaR portfolios: MIQP formulation and performance analysis
- A linearized value-at-risk model with transaction costs and short selling
- Estimating allocations for value-at-risk portfolio optimization
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- Dynamic value at risk under optimal and suboptimal portfolio policies.
- Comments on ``A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem
- Portfolio optimization under VaR constraints based on dynamic estimates of the variance-covariance matrix
- VaR-based risk parity investment strategy and its application
- Mean-univariate GARCH VaR portfolio optimization: actual portfolio approach
- A VaR Black-Litterman model for the construction of absolute return fund-of-funds
- A matrix-based VaR model for risk identification in power supply networks
- Economic implications of using a mean-VaR model for portfolio selection: a comparison with mean-variance analysis.
- Value-at-risk optimization using the difference of convex algorithm
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- Portfolio optimization based on value-at-risk
- Performance of a hedged stochastic portfolio model in the presence of extreme events
- Backtesting portfolio value‐at‐risk with estimated portfolio weights
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