Portfolio selection with CVaR constraint.

• المؤلفون الرئيسيون: Chua, Serene Ee Ling., Soh, Tuck Weng., Wee, Cheng Sim.
• مؤلفون آخرون: Zhao, Yonggan
• التنسيق: Theses and Dissertations
• اللغة: English
• منشور في: 2008
• الموضوعات: DRNTU::Business::Finance::Portfolio management
• الوصول للمادة أونلاين: http://hdl.handle.net/10356/7197
• المؤسسة: Nanyang Technological University

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...