Risk Measures and Portfolio Optimization
In this paper we investigate portfolio optimization under Value at Risk, Average Value at Risk and Limited Expected Loss constraints in a continuous time framework, where stocks follow a geometric Brownian motion. Analytic expressions for Value at Risk, Average Value at Risk and Limited Expected Los...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2014-09-01
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| Series: | Journal of Risk and Financial Management |
| Subjects: | |
| Online Access: | http://www.mdpi.com/1911-8074/7/3/113 |