Portfolio optimization under the Value-at-Risk constraint Conferences

authors

• Pirvu, Traian

status

• published 

publication date

• April 2007

has subject area

• 01 Mathematical Sciences (FoR)
• 14 Economics (FoR)
• 15 Commerce, Management, Tourism and Services (FoR)
• Finance (Science Metrix)

published in

• Quantitative Finance  Journal

keywords

• Business & Economics
• Business, Finance
• Economics
• Mathematical Methods In Social Sciences
• Mathematics
• Mathematics, Interdisciplinary Applications
• Physical Sciences
• Science & Technology
• Social Sciences
• Social Sciences, Mathematical Methods
• Value-at-Risk (VaR)
• portfolio management
• portfolio optimization
• portfolio theory
• utility functions

Digital Object Identifier (DOI)

• 10.1080/14697680701213868

start page

• 125

end page

• 136

volume

• 7

issue

• 2