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Titel:

Portfolio Optimization: Volatility versus Shortfall Constraints

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Kalin, D.; Zagst, R.
Nicht-TUM Koautoren:
ja
Kooperation:
-
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
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