Portfolio selection with CVaR constraint.
The purpose of this thesis is to develop a portfolio selection approach that is theoretically similar to Markowitz Mean Variance model, that is, to maximize return for a given risk; flexible enough to incorporate a wide variety of assets and risk types; and if possible able to andle portfolios with...
| Principais autores: | , , |
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| Outros Autores: | |
| Formato: | Tese |
| Idioma: | English |
| Publicado em: |
2008
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| Assuntos: | |
| Acesso em linha: | http://hdl.handle.net/10356/7197 |