76 search results - page 1 / 16 » Efficient Portfolio Optimization with Conditional Value at R... |
IMCSIT
2010
13 years 2 months ago
2010
The portfolio optimization problem is modeled as a mean-risk bicriteria optimization problem where the expected return is maximized and some (scalar) risk measure is minimized. In ...
ANOR
2007
13 years 4 months ago
2007
FS
2006
13 years 4 months ago
2006
In this paper we investigate portfolio optimization in a Black-Scholes continuoustime setting under quantile based risk measures: value at risk, capital at risk and relative value...
MANSCI
2008
13 years 4 months ago
2008
Value-at-Risk (VaR) is one of the most widely accepted risk measures in the financial and insurance industries, yet efficient optimization of VaR remains a very difficult problem....
IOR
2006
13 years 4 months ago
2006
The paper considers robust optimization to cope with uncertainty about the stock return process in one period option hedging problems. The robust approach relates portfolio choice ...