Artikel
Risk measures and portfolio optimization
In this paper we investigate portfolio optimization under Value at Risk, Average Value at Risk and Limited Expected Loss constraints in a continuous time framework, where stocks follow a geometric Brownian motion. Analytic expressions for Value at Risk, Average Value at Risk and Limited Expected Loss are derived. We solve the problem of minimizing risk measures applied to portfolios. Moreover, the portfolio's expected return is maximized subject to the aforementioned risk measures. We illustrate the effect of these risk measures on portfolio optimization by using numerical experiments.
- Sprache
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Englisch
- Erschienen in
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Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 7 ; Year: 2014 ; Issue: 3 ; Pages: 113-129 ; Basel: MDPI
- Klassifikation
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Wirtschaft
- Thema
-
risk management
value-at-risk
average value-at-risk
limited expected loss
geometric Brownian motion
optimal portfolio strategy
- Ereignis
-
Geistige Schöpfung
- (wer)
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Gambrah, Priscilla Serwaa Nkyira
Pirvu, Traian Adrian
- Ereignis
-
Veröffentlichung
- (wer)
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MDPI
- (wo)
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Basel
- (wann)
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2014
- DOI
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doi:10.3390/jrfm7030113
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Gambrah, Priscilla Serwaa Nkyira
- Pirvu, Traian Adrian
- MDPI
Entstanden
- 2014
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