User: Guest  Login
Document type:
Zeitschriftenaufsatz 
Author(s):
Kalin, D.; Zagst, R. 
Non-TUM Co-author(s):
ja 
Cooperation:
Title:
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 
Journal title:
OR Spektrum 
Year:
1999 
Journal volume:
21 
Journal issue:
1/2 
Pages contribution:
97-122 
Language:
en 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Professional Journal:
Nein 
versions