Optimal selection of a portfolio of options under Value-at-Risk constraints: a scenario approach

ISSN： 0254-5330

Source： Annals of Operations Research, Vol.181, Iss.1, 2010-12, pp. : 683-708

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract

Related content

Hedging with options and cardinality constraints in multi-period portfolio management systems

By Östermark Ralf

Kybernetes: The International Journal of Systems & Cybernetics, Vol. 40, Iss. 5-6, 2011-06 ,pp. : 703-718

Emerald Group Publishing Ltd

Access to resources Recommend Favorite

Optimal portfolio model under compound jump processes

By Wan Shuping

Kybernetes: The International Journal of Systems & Cybernetics, Vol. 38, Iss. 3-4, 2009-01 ,pp. : 522-532

Emerald Group Publishing Ltd

Access to resources Recommend Favorite

Optimal portfolio choice under a liability constraint

By Zaremba L.S. Smoleński W.H.

Annals of Operations Research, Vol. 97, Iss. 1-4, 2000-01 ,pp. : 131-141

Springer Publishing Company

Access to resources Recommend Favorite

Portfolio Selection Problem with Minimax Type Risk Function

By Teo K.L.

Annals of Operations Research, Vol. 101, Iss. 1-4, 2001-01 ,pp. : 333-349

Springer Publishing Company

Access to resources Recommend Favorite

Mean-risk model for uncertain portfolio selection

By Huang Xiaoxia

Fuzzy Optimization and Decision Making, Vol. 10, Iss. 1, 2011-03 ,pp. : 71-89

Springer Publishing Company

Access to resources Recommend Favorite