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...

Full description

Bibliographic Details
Main Authors:	Priscilla Serwaa Nkyira Gambrah, Traian Adrian Pirvu
Format:	Article
Language:	English
Published:	MDPI AG 2014-09-01
Series:	Journal of Risk and Financial Management
Subjects:	risk management value-at-risk average value-at-risk limited expected loss geometric Brownian motion optimal portfolio strategy
Online Access:	http://www.mdpi.com/1911-8074/7/3/113

id	doaj-7e57b7de24104522941491cb23d553ab
record_format	Article
spelling	doaj-7e57b7de24104522941491cb23d553ab2020-11-24T20:40:36ZengMDPI AGJournal of Risk and Financial Management1911-80742014-09-017311312910.3390/jrfm7030113jrfm7030113Risk Measures and Portfolio OptimizationPriscilla Serwaa Nkyira Gambrah0Traian Adrian Pirvu1Department of Mathematics and Statistics, McMaster University, 1280 Main Street West, Hamilton, Ontario, L8S 4L8, CanadaDepartment of Mathematics and Statistics, McMaster University, 1280 Main Street West, Hamilton, Ontario, L8S 4L8, CanadaIn 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 Loss are derived. We solve the problem of minimizing risk measures applied to portfolios. Moreover, the portfolio’s expected return is maximized subject to the aforementioned risk measures. We illustrate the effect of these risk measures on portfolio optimization by using numerical experiments.http://www.mdpi.com/1911-8074/7/3/113risk managementvalue-at-riskaverage value-at-risklimited expected lossgeometric Brownian motionoptimal portfolio strategy
collection	DOAJ
language	English
format	Article
sources	DOAJ
author	Priscilla Serwaa Nkyira Gambrah Traian Adrian Pirvu
spellingShingle	Priscilla Serwaa Nkyira Gambrah Traian Adrian Pirvu Risk Measures and Portfolio Optimization Journal of Risk and Financial Management risk management value-at-risk average value-at-risk limited expected loss geometric Brownian motion optimal portfolio strategy
author_facet	Priscilla Serwaa Nkyira Gambrah Traian Adrian Pirvu
author_sort	Priscilla Serwaa Nkyira Gambrah
title	Risk Measures and Portfolio Optimization
title_short	Risk Measures and Portfolio Optimization
title_full	Risk Measures and Portfolio Optimization
title_fullStr	Risk Measures and Portfolio Optimization
title_full_unstemmed	Risk Measures and Portfolio Optimization
title_sort	risk measures and portfolio optimization
publisher	MDPI AG
series	Journal of Risk and Financial Management
issn	1911-8074
publishDate	2014-09-01
description	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 Loss are derived. We solve the problem of minimizing risk measures applied to portfolios. Moreover, the portfolio’s expected return is maximized subject to the aforementioned risk measures. We illustrate the effect of these risk measures on portfolio optimization by using numerical experiments.
topic	risk management value-at-risk average value-at-risk limited expected loss geometric Brownian motion optimal portfolio strategy
url	http://www.mdpi.com/1911-8074/7/3/113
work_keys_str_mv	AT priscillaserwaankyiragambrah riskmeasuresandportfoliooptimization AT traianadrianpirvu riskmeasuresandportfoliooptimization
_version_	1716826289674911744

Risk Measures and Portfolio Optimization

Similar Items