Selecting Optimal Portfolio on the Basis of Value at Risk

摘要：

Within the framework of Markowitzs portfolio theory, this paper analyzes the problem of the optimal portfolio on VaR. By using historical data of return loss to simulate several situations, we built an optimal portfolio model for VaR and proposed the detailed algorithms. The simplicity and the effectiveness of these algorithms were also demonstrated with concrete examples.

作者: Hongmei Peng

作者单位: School of Economic and Management, Changsha University of Science and Technology, Changsha, 410076, China

会议类型: 国际会议

会议名称: The Second International Joint Conference on Computational Science and Optimization(CSO 2009)(2009 国际计算科学与优化会议)

会议地点: 三亚

会议语种:英文

页码: 1608-1611

在线出版日期: 2009-04-24（万方平台首次上网日期，不代表论文的发表时间）