Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation

Annals of Finance

Volumn 4, Issue 3, 2008, Pages 345-367

  Daníelsson, Jón ^a   Jorgensen, Bjørn N ^b   De Vries, Casper G ^c   Yang, Xiaoguang ^d  

^a LONDON SCHOOL OF ECONOMICS   (United Kingdom)

^b Columbia University ^*  (United States)

^c TINBERGEN INSTITUTE   (Netherlands)

^d INSTITUTE OF GEOLOGY AND GEOPHYSICS   (China)

Author keywords

Computational complexity; Portfolio optimization; State price density; Value at risk

Indexed keywords

EID: 71149093091     PISSN: 16142446     EISSN: 16142454     Source Type: Journal    
DOI: 10.1007/s10436-007-0081-3     Document Type: Article

References (27)

1. F. Allen D. Gale 1988 Optimal security design Rev Financ Stud 1 229 263
2. F. Allen D. Gale 1991 Arbitrage, short sales and financial innovation Econometrica 59 1041 1068
3. E.R. Arzac V.S. Bawa 1977 Portfolio choice and equilibrium in capital markets with safety-first investors J Financ Econ 4 277 288
4. S. Basak A. Shapiro 2001 Value-at-risk based risk management: optimal policies and asset prices Rev Financ Stud 14 371 405 (Pubitemid 33587850)
5. Z. Chen 1995 Financial innovation and arbitrage pricing and frictionless economies J Econ Theory 65 117 135
6. Cormen T.H., Leiserson C.E., Rivest R.L. (1999) Introduction to Algorithms. MIT Press/McGraw Hill, New York/Massachusetts
7. Dert, C., Oldenkamp, B.: Optimal guaranteed portfolios and the casino effect. Technical Report 9704, Erasmus Center for Financial Research (1997)
8. R.C. Green K. Rydqvist 1997 The valuation of non-systematic risks and the pricing of Swedish lottery bonds Rev Financ Stud 10 2 447 480
9. R.C. Green K. Rydqvist 1999 Ex-day behavior with dividend preference and limitations to short-term arbitrage: the case of Swedish lottery bonds J Financ Econ 53 2 145 18
10. M. Grinblatt F. Longstaff 2000 Financial innovation and the role of derivative securities: an empirical analysis of the treasury strips program J Financ LV 3 1415 1436
11. S. Grossman J.L. Vila 1989 Portfolio insurance in complete markets: a note J Bus 62 4 473 476
12. den Hertog D. (1995) Interior Point Approach to Linear, Quadratic, and Lower Programming. Kluwer, Dortrecht
13. Ingersoll J.E. (1987) Theory of Financial Decision Making. Rowman & Littlefield, Maryland
14. Kuhn H.W., Tucker A.W. (1951) Non-linear programming. In: Neyman J (ed) Proceedings of the second berkely symposium on mathematical statistics and probability. University of California Press, Berkeley
15. H.E. Leland 1980 Who should buy portfolio insurance? J Financ 35 2 581 94
16. J.M. Marin R. Rahi 1999 Speculative securities Econ Theory 14 653 668
17. H. Markowitz 1952 Portfolio selection J Financ 7 77 91
18. Markowitz H.M. (1959) Portfolio Selection. Wiley, New York
19. M.H. Miller 1986 Financial innovation: the last twenty years and the next J Financ Quant Anal 21 459 471
20. M.H. Miller 1992 Financial innovation: achievements and prospects J Appl Corp Financ 4 4 11
21. Papdimitriou H., Steiglitz I. (1982) Combinatorial Optimization: Algorithms and Complexity. Prentice Hall, Englewood Cliffs
22. S.A. Ross 1976 Options and efficiency Q J Econ 90 75 89
23. A.D. Roy 1952 Safety first and the holding of assets Econometrica 20 431 449
24. C.M. Schilbred 1973 The market price of risk Rev Econ Stud 40 283 292
25. Ukhov, A.D.: Time varying risk aversion: evidence from russian lottery bonds. Yale School of Management (2002)
26. Uzawa H. (1958) The Kuhn-Tucker theorem in concave programming. In: Arrow K., Hurwicz L., Uzawa H. (eds). Studies in Linear and Non-Linear Programming. Stanford University Press, Stanford
27. Vorst, T.: Optimal portfolios under a value at risk constraint. Mimeo, Department of Finance, Erasmus University Rotterdam (2000)