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Portfolio optimization under the Value-at-Risk constraint - MaRDI portal

Portfolio optimization under the Value-at-Risk constraint (Q3593595)

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scientific article
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English
Portfolio optimization under the Value-at-Risk constraint
scientific article

    Statements

    title
    Portfolio optimization under the Value-at-Risk constraint (English)
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    author
    Traian A. Pirvu
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    publication date
    23 July 2007
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    zbMATH Keywords
    value-at-risk
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    utility functions
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    portfolio optimization
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    portfolio theory
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    portfolio management
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    Identifiers

    Mathematics Subject Classification ID
    91G10
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    91G80
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    93E20
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    91G60
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    zbMATH DE Number
    5173552
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    OpenAlex ID
    W2143299583
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