A firm's optimizing behaviour under a value-at-risk constraint

DOI10.1080/02331930701761573zbMath1158.90429OpenAlexW2091927747MaRDI QIDQ3622016

Vanda Tulli, Gerd Weinrich

Publication date: 23 April 2009

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331930701761573

zbMATH Keywords

optimizationvalue-at-riskbankruptcydebt financing

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Production theory, theory of the firm (91B38)

Related Items (2)

A difference of convex formulation of value-at-risk constrained optimization ⋮ Using value-at-risk to reconcile limited liability and the moral-hazard problem

Cites Work

• Optimal portfolios under a value-at-risk constraint
• Convex risk measures for portfolio optimization and concepts of flexibility

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