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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Kalin, D.; Zagst, R. 
Nicht-TUM Koautoren:
ja 
Kooperation:
Titel:
Portfolio Optimization: Volatility versus Shortfall Constraints 
Abstract:
In this paper we examine two models of portfolio optimization. Volatility (standard deviation) constraints as well as shortfall constraints are considered and compared. We present a general condition under which the restriction to a certain risk level concerning volatility can be transformed to a special shortfall constraint and vice versa. We show that under this condition the value at risk of a portfolio can be easily calculated and restricted using the variance of the portfolio even if the re...    »
 
Intellectual Contribution:
Contribution to Practice 
Zeitschriftentitel:
OR Spektrum 
Jahr:
1999 
Band / Volume:
21 
Heft / Issue:
1/2 
Seitenangaben Beitrag:
97-122 
Sprache:
en 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
commissioned:
not commissioned 
Professional Journal:
Nein