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ArticleOptimal portfolios under a value-at-risk constraint

Ka Fai Cedric Yiu2003

Article2003

Optimal portfolios under a value-at-risk constraint

Ka Fai Cedric Yiu

122 citations·0/0 files stored·Journal of Economic Dynamics and Control

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Risk and Portfolio Optimization Stochastic processes and financial applications Probability and Risk Models

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References

1971Optimum consumption and portfolio rules in a continuous-time model 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case 1952Portfolio Selection 1998Arbitrage Theory in Continuous Time 1996Value at risk: the new benchmark for controlling market risk 2001Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices 1998Beyond Value at Risk: The New Science of Risk Management

Cited by

2010Optimal investment–reinsurance policy for an insurance company with VaR constraint 2008Time-inconsistency of VaR and time-consistent alternatives 2010Optimal portfolios with regime switching and value-at-risk constraint 2016Optimal management of DC pension plan under loss aversion and Value-at-Risk constraints 2006Does the Basle Capital Accord reduce bank fragility? An assessment of the value-at-risk approach 2018Optimal investment–reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets

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Year2003

Typearticle

Published2003-07-16

VenueJournal of Economic Dynamics and Control

ISSN-L0165-1889

Languageen

Citations122

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1016/s0165-1889(03)00116-7

openalex_workW2115814664

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2008

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2015Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time