Title :
Selecting Optimal Portfolio on the Basis of Value at Risk
Author_Institution :
Sch. of Economic & Manage., Changsha Univ. of Sci. & Technol., Changsha, China
Abstract :
Within the framework of Markowitz´s portfolio theory, this paper analyzes the problem of the optimal portfolio on VaR. By using historical data of return loss to simulate several situations, we built an optimal portfolio model for VaR and proposed the detailed algorithms. The simplicity and the effectiveness of these algorithms were also demonstrated with concrete examples.
Keywords :
cost accounting; decision making; financial management; investment; risk management; Markowitz´s portfolio theory; investment decision making; optimal portfolio model; return loss data; value at risk; Conference management; Decision making; Economic indicators; Exchange rates; Investments; Optimization methods; Portfolios; Reactive power; Risk management; Technology management;
Conference_Titel :
Computational Sciences and Optimization, 2009. CSO 2009. International Joint Conference on
Conference_Location :
Sanya, Hainan
Print_ISBN :
978-0-7695-3605-7
DOI :
10.1109/CSO.2009.203
