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
相关论文
共 50 条
  • [41] Optimal hedging with basis risk
    Davis, MHA
    From Stochastic Calculus to Mathematical Finance: The Shiryaev Festschrift, 2006, : 169 - 187
  • [42] OPTIMAL PORTFOLIO CHOICE WITH CRASH AND DEFAULT RISK
    Mueller, Lukas
    INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE, 2022, 25 (4-5)
  • [43] Optimal annuity portfolio under inflation risk
    Konicz A.K.
    Pisinger D.
    Weissensteiner A.
    Computational Management Science, 2015, 12 (3) : 461 - 488
  • [44] Hedging crash risk in optimal portfolio selection
    Zhu, Shushang
    Zhu, Wei
    Pei, Xi
    Cui, Xueting
    JOURNAL OF BANKING & FINANCE, 2020, 119
  • [45] EFFECT OF ESTIMATION RISK ON OPTIMAL PORTFOLIO CHOICE
    KLEIN, RW
    BAWA, VS
    JOURNAL OF FINANCIAL ECONOMICS, 1976, 3 (03) : 215 - 231
  • [46] Optimal Portfolio Liquidation with Execution Cost and Risk
    Kharroubi, Idris
    Huyen Pham
    SIAM JOURNAL ON FINANCIAL MATHEMATICS, 2010, 1 (01): : 897 - 931
  • [47] An optimal risk - return portfolio of Islamic banks
    Ismal, Rifki
    HUMANOMICS, 2014, 30 (04) : 286 - 303
  • [48] Optimal portfolio and consumption selection with default risk
    Lijun Bo
    Yongjin Wang
    Xuewei Yang
    Frontiers of Mathematics in China, 2012, 7 : 1019 - 1042
  • [49] ESTIMATION RISK AND STABILITY OF OPTIMAL PORTFOLIO COMPOSITION
    DHINGRA, HL
    EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 1983, 13 (04) : 353 - 360
  • [50] Optimal portfolio and consumption selection with default risk
    Bo, Lijun
    Wang, Yongjin
    Yang, Xuewei
    FRONTIERS OF MATHEMATICS IN CHINA, 2012, 7 (06) : 1019 - 1042
12345