Portfolio selection with CVaR constraint.

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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書目詳細資料
Main Authors:	Chua, Serene Ee Ling., Soh, Tuck Weng., Wee, Cheng Sim.
其他作者:	Zhao, Yonggan
格式:	Theses and Dissertations
語言:	English
出版:	2008
主題:	DRNTU::Business::Finance::Portfolio management
在線閱讀:	http://hdl.handle.net/10356/7197
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	Nanyang Technological University
語言:	English

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