Portfolio value-at-risk optimization for asymmetrically distributed asset returns

European Journal of Operational Research

Volumn 221, Issue 2, 2012, Pages 397-406

  Goh, Joel Weiqiang ^a   Lim, Kian Guan ^b   Sim, Melvyn ^a   Zhang, Weina ^a  

^a NATIONAL UNIVERSITY OF SINGAPORE   (Singapore)

^b SINGAPORE MANAGEMENT UNIVERSITY   (Singapore)

Author keywords

Asymmetric distributions; Partitioned value at risk; Portfolio optimization; Risk management; Robust risk measures

Indexed keywords

ASYMMETRIC DISTRIBUTION; FINANCIAL DATA; HALF SPACES; HALF-SPACE; MARKOWITZ; MEAN-VARIANCE APPROACH; OPTIMAL PORTFOLIOS; PORTFOLIO OPTIMIZATION; RISK MEASURES; SIMULATED DATA; STATISTICAL INFORMATION; VALUE AT RISK;

COMMERCE; FINANCIAL DATA PROCESSING; HEALTH HAZARDS; OPTIMIZATION; RISK MANAGEMENT;

VALUE ENGINEERING;

EID: 84861096041     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ejor.2012.03.012     Document Type: Article

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