Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation

DOI10.1007/s10436-007-0081-3zbMath1233.91239OpenAlexW2024716263MaRDI QIDQ665824

Casper G. de Vries, Jón Daníelsson, Bjørn N. Jorgensen, Xiao-guang Yang

Publication date: 6 March 2012

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-007-0081-3

zbMATH Keywords

computational complexityportfolio optimizationvalue-at-riskstate-price density

Mathematics Subject Classification ID

Related Items (7)

Minimizing oracle-structured composite functions ⋮ Large deviations estimation of the windfall and shortfall probabilities for optimal diversified portfolios ⋮ Low order-value approach for solving var-constrained optimization problems ⋮ Mean-VaR portfolio optimization: a nonparametric approach ⋮ Fat tails, VaR and subadditivity ⋮ Static and dynamic VaR constrained portfolios with application to delegated portfolio management ⋮ The risk-averse newsvendor problem with random capacity

Cites Work

• Financial innovation and arbitrage pricing in frictional economies
• Speculative securities
• Options and Efficiency
• Arbitrage, Short Sales, and Financial Innovation
• Safety First and the Holding of Assets
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