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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Bibliographic Details
Main Authors:	Chua, Serene Ee Ling., Soh, Tuck Weng., Wee, Cheng Sim.
Other Authors:	Zhao, Yonggan
Format:	Theses and Dissertations
Language:	English
Published:	2008
Subjects:	DRNTU::Business::Finance::Portfolio management
Online Access:	http://hdl.handle.net/10356/7197
Tags:	Add Tag No Tags, Be the first to tag this record!
Institution:	Nanyang Technological University
Language:	English

id	sg-ntu-dr.10356-7197
record_format	dspace
spelling	sg-ntu-dr.10356-71972024-01-12T10:24:33Z Portfolio selection with CVaR constraint. Chua, Serene Ee Ling. Soh, Tuck Weng. Wee, Cheng Sim. Zhao, Yonggan Nanyang Business School DRNTU::Business::Finance::Portfolio management 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 a large number of assets efficiently. Master of Science (Financial Engineering) 2008-09-18T07:41:24Z 2008-09-18T07:41:24Z 2002 2002 Thesis http://hdl.handle.net/10356/7197 en Nanyang Technological University 82 p. application/pdf
institution	Nanyang Technological University
building	NTU Library
continent	Asia
country	Singapore Singapore
content_provider	NTU Library
collection	DR-NTU
language	English
topic	DRNTU::Business::Finance::Portfolio management
spellingShingle	DRNTU::Business::Finance::Portfolio management Chua, Serene Ee Ling. Soh, Tuck Weng. Wee, Cheng Sim. Portfolio selection with CVaR constraint.
description	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 a large number of assets efficiently.
author2	Zhao, Yonggan
author_facet	Zhao, Yonggan Chua, Serene Ee Ling. Soh, Tuck Weng. Wee, Cheng Sim.
format	Theses and Dissertations
author	Chua, Serene Ee Ling. Soh, Tuck Weng. Wee, Cheng Sim.
author_sort	Chua, Serene Ee Ling.
title	Portfolio selection with CVaR constraint.
title_short	Portfolio selection with CVaR constraint.
title_full	Portfolio selection with CVaR constraint.
title_fullStr	Portfolio selection with CVaR constraint.
title_full_unstemmed	Portfolio selection with CVaR constraint.
title_sort	portfolio selection with cvar constraint.
publishDate	2008
url	http://hdl.handle.net/10356/7197
_version_	1789483117605552128

Portfolio selection with CVaR constraint.

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