Modeling of Mean-VaR portfolio optimization by risk tolerance when the utility function is quadratic-Reference-Cited by-同舟云学术

Modeling of Mean-VaR portfolio optimization by risk tolerance when the utility function is quadratic

Published:2017 Issue: Volume: Page:
ISSN:0094-243X
Container-title:AIP Conference Proceedings
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Author:

Sukono ,Sidi Pramono,Bon Abdul Talib bin,Supian Sudradjat

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Link

http://aip.scitation.org/doi/pdf/10.1063/1.4979451

Reference22 articles.

1. H. Ahmadi1 and D. Sitdhirasdr. Portfolio Optimization is One Multiplication, the Rest is Arithmetic. Journal of Applied Finance & Banking, vol. 6, no. 1, 2016, 81–93, ISSN: 1792-6580 (print version), 1792-6599 (online). Scienpress Ltd, 2016.

2. Minimizing CVaR and VaR for a portfolio of derivatives

3. Y. Bansal, S. Kumar, and P. Verma. Commodity Futures in Portfolio Diversification: Impact on Investor’s Utility. Global Business and Management Research: An International Journal, Vol. 6, No. 2 (2014).

4. Portfolio optimization with structured products under return constraint

5. Asset allocation with conditional value-at-risk budgets

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