Static and dynamic VaR constrained portfolios with application to delegated portfolio management
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Publication:5746724
DOI10.1080/02331934.2013.854785zbMath1280.91156OpenAlexW1975610191MaRDI QIDQ5746724
Publication date: 7 February 2014
Published in: Optimization (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/11693/20729
value at riskdynamic portfolio selectiondelegated portfolio managementmean-variance efficient portfoliosprobabilistic chance constraint
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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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