A linearized value-at-risk model with transaction costs and short selling

DOI10.1016/j.ejor.2015.06.024zbMath1348.91296OpenAlexW616660716MaRDI QIDQ320109

Da-Ren Mu, Jing-Rung Yu, Wan-Jiun Paul Chiou

Publication date: 6 October 2016

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2015.06.024

zbMATH Keywords

transaction costslinearized modelshort-sales

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Applications of mathematical programming (90C90) Mixed integer programming (90C11)

Related Items

Using parametric classification trees for model selection with applications to financial risk management, Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios

Uses Software

• CAViaR

Cites Work

• Portfolio rebalancing model using multiple criteria
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• A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem
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• Robust multiobjective optimization \& applications in portfolio optimization
• Incorporating Asymmetric Distributional Information in Robust Value-at-Risk Optimization
• Multi‐asset portfolio optimization with transaction cost
• Dynamic value at risk under optimal and suboptimal portfolio policies.