Modeling and solving portfolio selection problems based on PVaR

DOI10.1080/14697688.2020.1819552zbMath1471.91499OpenAlexW3091926470MaRDI QIDQ4957247

No author found.

Publication date: 3 September 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2020.1819552

zbMATH Keywords

portfolio selection problemportfolio optimization modelperiod value at risk

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10) Financial markets (91G15)

Related Items (1)

PVaR: A New Risk Measure for Financial Investments

Uses Software

• Dowd
• RiskMetrics

Cites Work

• Unnamed Item
• Optimum consumption and portfolio rules in a continuous-time model
• Portfolio selection with uncertain exit time: a robust CVaR approach
• Optimal investment decisions when time-horizon is uncertain
• A mean-absolute deviation-skewness portfolio optimization model
• Economic implications of using a mean-VaR model for portfolio selection: a comparison with mean-variance analysis.
• 60 years of portfolio optimization: practical challenges and current trends
• Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
• Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
• Mean‐Semivariance Efficient Frontier: A Downside Risk Model for Portfolio Selection
• Optimal Investment and Consumption Strategies Under Risk, an Uncertain Lifetime, and Insurance
• Mean-Variance portfolio optimization when each asset has individual uncertain exit-time

This page was built for publication: Modeling and solving portfolio selection problems based on PVaR