Portfolio optimization under the Value-at-Risk constraint

Quantitative Finance

Volumn 7, Issue 2, 2007, Pages 125-136

  Pirvu, Traian A ^a  

^a UNIVERSITY OF BRITISH COLUMBIA   (Canada)

Author keywords

Portfolio management; Portfolio optimization; Portfolio theory; Utility functions; Value at Risk (VaR)

Indexed keywords

EID: 34248571561     PISSN: 14697688     EISSN: 14697696     Source Type: Journal    
DOI: 10.1080/14697680701213868     Document Type: Article

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