Optimal portfolios under a value-at-risk constraint

Journal of Economic Dynamics and Control

Volumn 28, Issue 7, 2004, Pages 1317-1334

  Yiu, K F C ^a,b  

^a UNIVERSITY OF LONDON   (United Kingdom)

^b UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

Dynamic programming; Optimal portfolio; Value at risk

Indexed keywords

EID: 0347603907     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0165-1889(03)00116-7     Document Type: Article

References (12)

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