• DocumentCode
    2822681
  • Title

    Selecting Optimal Portfolio on the Basis of Value at Risk

  • Author

    Peng, Hongmei

  • Author_Institution
    Sch. of Economic & Manage., Changsha Univ. of Sci. & Technol., Changsha, China
  • Volume
    2
  • fYear
    2009
  • fDate
    24-26 April 2009
  • Firstpage
    558
  • Lastpage
    561
  • Abstract
    Within the framework of Markowitz´s 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.
  • Keywords
    cost accounting; decision making; financial management; investment; risk management; Markowitz´s portfolio theory; investment decision making; optimal portfolio model; return loss data; value at risk; Conference management; Decision making; Economic indicators; Exchange rates; Investments; Optimization methods; Portfolios; Reactive power; Risk management; Technology management;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Computational Sciences and Optimization, 2009. CSO 2009. International Joint Conference on
  • Conference_Location
    Sanya, Hainan
  • Print_ISBN
    978-0-7695-3605-7
  • Type

    conf

  • DOI
    10.1109/CSO.2009.203
  • Filename
    5194015
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=2822681