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Document type:
Zeitschriftenaufsatz 
Author(s):
Zagst, R.; Kehrbaum, J. 
Non-TUM Co-author(s):
ja 
Cooperation:
Title:
Portfolio Optimization Under Limited Value at Risk 
Abstract:
In this paper we examine the problem of optimizing portfolios under limited downside risk. The portfolios risk exposure is measured assuming that the portfolio manager is averse to portfolio values falling below a given benchmark. We apply a downside risk approach using shortfall constraints, a framework that is quite well justified in the literature. As a special benchmark we choose the value at risk (VaR) since this is the probably most important benchmark in measuring the downside risk exposu...    »
 
Intellectual Contribution:
Contribution to Practice 
Journal title:
risklab research paper No. 9802 
Year:
1998 
Pages contribution:
Language:
en 
Key publication:
Nein 
Peer reviewed:
Nein 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Professional Journal:
Nein 
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