Static and dynamic VaR constrained portfolios with application to delegated portfolio management

DOI10.1080/02331934.2013.854785zbMath1280.91156OpenAlexW1975610191MaRDI QIDQ5746724

Mustafa Çelebi Pinar

Publication date: 7 February 2014

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11693/20729

zbMATH Keywords

value at riskdynamic portfolio selectiondelegated portfolio managementmean-variance efficient portfoliosprobabilistic chance constraint

Mathematics Subject Classification ID

Related Items (6)

Robust portfolio choice under the interest rate uncertainty ⋮ Optimal investment policy in a multi-stage problem with bankruptcy and stage-by-stage probability constraints ⋮ Adjusted robust mean-value-at-risk model: less conservative robust portfolios ⋮ Mean-variance-VaR portfolios: MIQP formulation and performance analysis ⋮ Design of efficient investment portfolios with a shortfall probability as a measure of risk ⋮ Optimization Methods in Mathematical Finance

Cites Work

• Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation
• Delegated portfolio management
• Applications of second-order cone programming
• Second-order cone programming
• Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis
• Chance-Constrained Programming
• An Active Set Method for Single-Cone Second-Order Cone Programs
• Lectures on Stochastic Programming
• An Application of Chance Constrained Programming to Portfolio Selection in a Casualty Insurance Firm
• Risk Aversion in Chance Constrained Portfolio Selection
• Robust Portfolio Selection Problems
• Safety First and the Holding of Assets

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