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...
| Main Authors: | , , |
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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
2008
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/7197 |
| _version_ | 1826125666684239872 |
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| author | Chua, Serene Ee Ling. Soh, Tuck Weng. Wee, Cheng Sim. |
| author2 | Zhao, Yonggan |
| author_facet | Zhao, Yonggan Chua, Serene Ee Ling. Soh, Tuck Weng. Wee, Cheng Sim. |
| author_sort | Chua, Serene Ee Ling. |
| collection | NTU |
| description | 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 a large number of assets efficiently. |
| first_indexed | 2024-10-01T06:40:25Z |
| format | Thesis |
| id | ntu-10356/7197 |
| institution | Nanyang Technological University |
| language | English |
| last_indexed | 2024-10-01T06:40:25Z |
| publishDate | 2008 |
| record_format | dspace |
| spelling | ntu-10356/71972024-01-12T10:24:33Z Portfolio selection with CVaR constraint. Chua, Serene Ee Ling. Soh, Tuck Weng. Wee, Cheng Sim. Zhao, Yonggan Nanyang Business School DRNTU::Business::Finance::Portfolio management 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 a large number of assets efficiently. Master of Science (Financial Engineering) 2008-09-18T07:41:24Z 2008-09-18T07:41:24Z 2002 2002 Thesis http://hdl.handle.net/10356/7197 en Nanyang Technological University 82 p. application/pdf |
| spellingShingle | DRNTU::Business::Finance::Portfolio management Chua, Serene Ee Ling. Soh, Tuck Weng. Wee, Cheng Sim. Portfolio selection with CVaR constraint. |
| title | Portfolio selection with CVaR constraint. |
| title_full | Portfolio selection with CVaR constraint. |
| title_fullStr | Portfolio selection with CVaR constraint. |
| title_full_unstemmed | Portfolio selection with CVaR constraint. |
| title_short | Portfolio selection with CVaR constraint. |
| title_sort | portfolio selection with cvar constraint |
| topic | DRNTU::Business::Finance::Portfolio management |
| url | http://hdl.handle.net/10356/7197 |
| work_keys_str_mv | AT chuasereneeeling portfolioselectionwithcvarconstraint AT sohtuckweng portfolioselectionwithcvarconstraint AT weechengsim portfolioselectionwithcvarconstraint |