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...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Sciendo
2021-03-01
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| Series: | Cybernetics and Information Technologies |
| Subjects: | |
| Online Access: | https://doi.org/10.2478/cait-2021-0002 |