Portfolio selection with CVaR constraint.

• 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
• 機構: 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...