Selecting Optimal Portfolio on the Basis of Value at Risk

被引：0
|
作者：
Peng, Hongmei [1 ]
机构：
[1] Changsha Univ Sci & Technol, Sch Econ & Management, Changsha 410076, Peoples R China
来源：
INTERNATIONAL JOINT CONFERENCE ON COMPUTATIONAL SCIENCES AND OPTIMIZATION, VOL 2, PROCEEDINGS | 2009年
关键词：
D O I：
10.1109/CSO.2009.203
中图分类号：
TP39 [计算机的应用];
学科分类号：
081203 ; 0835 ;
摘要：
Within the ftamework of Markowitz's portfolio theory, this paper analyzes the problem of the optimal portfolio on VaR. By using historical data of return loss to simulate several situations, we built an optimal portfolio model for VaR and proposed the detailed algorithms. The simplicity and the effectiveness of these algorithms were also demonstrated with concrete examples.
引用
收藏
页码：558 / 561
页数：4
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