Portfolio optimization: Volatility constraints versus shortfall constraints

DOI10.1007/s002910050083zbMath0916.90020OpenAlexW3122641597MaRDI QIDQ1283712

Dieter Kalin, Rudi Zagst

Publication date: 30 June 1999

Published in: OR Spektrum (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s002910050083

zbMATH Keywords

portfolio optimizationbenchmarkshortfall constraintsvalue at riskmean-variance efficient frontiervolatility constraints

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (3)

The optimal portfolio problem with coherent risk measure constraints. ⋮ How does the choice of Value-at-Risk estimator influence asset allocation decisions? ⋮ Integrated portfolio management with options

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