Portfolio selection under VaR constraints

被引：5

作者：

Giannopoulos, Kostas ^{[1
]}

Clark, Ephraim ^{[2
]}

Tunaru, Radu ^{[3
]}

机构：

[1] United Arab Emirates Univ, CBE, POB 17555, Al Ain, U Arab Emirates

[2] Middlesex Univ, London, England

[3] City Univ London, London, England

来源：

COMPUTATIONAL MANAGEMENT SCIENCE | 2005年 / 2卷 / 02期

关键词：

VaR; portfolio selection; Monte-Carlo simulation; conditional heteroskedasticity;

D O I：

10.1007/s10287-004-0030-9

中图分类号：

O1 [数学]; C [社会科学总论];

学科分类号：

03 ; 0303 ; 0701 ; 070101 ;

摘要：

In this paper we show that by assuming a constant variance/covariance matrix over the holding period, the VaR limits can often be exceeded within the relevant horizon period. To minimize this risk, we formulate the problem in terms of portfolio selection and propose an innovative methodology using conditional VaR that minimizes the VaR at each point of the holding period. We rewrite the optimisation problem by taking into consideration the variability of risk on all assets eligible to be included in the portfolio.

引用

页码：123 / 138

页数：16

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