Static and dynamic VaR constrained portfolios with application to delegated portfolio management
Please cite this item using this persistent URLhttp://hdl.handle.net/11693/20729
- Research Paper 
We give a closed-form solution to the single-period portfolio selection problem with a Value-at-Risk (VaR) constraint in the presence of a set of risky assets with multivariate normally distributed returns and the risk-less account, without short sales restrictions. The result allows to obtain a very simple, myopic dynamic portfolio policy in the multiple period version of the problem. We also consider mean-variance portfolios under a probabilistic chance (VaR) constraint and give an explicit solution. We use this solution to calculate explicitly the bonus of a portfolio manager to include a VaR constraint in his/her portfolio optimization, which we refer to as the price of a VaR constraint. © 2013 © 2013 Taylor & Francis.
Showing items related by title, author, creator and subject.
Portfolio implementation at Turkish university preparatory schools, and teachers' perceptions of portfolios and problems experienced with portfolio use Kılıç, Emine (Bilkent University, 2009)This study seeks to investigate portfolio implementation at Turkish university preparatory schools and the reported aims of portfolio use as targeted by these schools. The study further examines teachers‟ perceptions of ...
Pinar, M. C. (Taylor & Francis, 2013-11-18)We give a closed-form solution to the single-period portfolio selection problem with a Value-at-Risk (VaR) constraint in the presence of a set of risky assets with multivariate normally distributed returns and the risk-less ...
Özcan, Fulya (Bilkent University, 2012)This study aims to investigate the role of endogenously changing risk aversion in the portfolio decisions of the countries in a heterogeneous agents setting. Data shows that developed countries tend to hold more risky ...