Portfolio selection under VaR constraints.

Giannopoulos, Kostas, Clark, Ephraim A. and Tunaru, Radu (2005) Portfolio selection under VaR constraints. Computational Management Science, 2 (2) . pp. 123-138. ISSN 1619-697X [Article] (doi:10.1007/s10287-004-0030-9)


In this paper we show that by assuming a constant variance/covariance matrix over the holding period, the VaR limits can often be exceeded within the relevant horizon period. To minimize this risk, we formulate the problem in terms of portfolio selection and propose an innovative methodology using conditional VaR that minimizes the VaR at each point of the holding period. We rewrite the optimisation problem by taking into consideration the variability of risk on all assets eligible to be included in the portfolio.

Item Type: Article
Research Areas: A. > Business School > Accounting and Finance
Item ID: 1202
Useful Links:
Depositing User: Repository team
Date Deposited: 25 Feb 2009 09:10
Last Modified: 13 Oct 2016 14:13
URI: https://eprints.mdx.ac.uk/id/eprint/1202

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