Portfolio selection with CVaR constraint.
The purpose of this thesis is to develop a portfolio selection approach that is theoretically similar to Markowitz Mean Variance model, that is, to maximize return for a given risk; flexible enough to incorporate a wide variety of assets and risk types; and if possible able to andle portfolios with...
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| Main Authors: | , , |
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| Other Authors: | |
| Format: | Theses and Dissertations |
| Language: | English |
| Published: |
2008
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/7197 |
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| Institution: | Nanyang Technological University |
| Language: | English |