The Probabilistic Risk Measure VaR as Constraint in Portfolio Optimization Problem

The Probabilistic Risk Measure VaR as Constraint in Portfolio Optimization Problem

The paper realizes inclusion of probabilistic measure for risk, VaR (Value at Risk), into a portfolio optimization problem. The formal analysis of the portfolio problem illustrates the evolution of the portfolio theory in sequentially inclusion of different market characteristics into the problem. T...

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Bibliographic Details
Main Authors: Stoilov Todor, Stoilova Krasimira, Vladimirov Miroslav
Format: Article
Language:English
Published: Sciendo 2021-03-01
Series:Cybernetics and Information Technologies
Subjects:
portfolio optimization problem
var
approximation of probabilistic constraint
graphical interpretation of var
Online Access:https://doi.org/10.2478/cait-2021-0002

Internet

https://doi.org/10.2478/cait-2021-0002

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