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.
Vanli, N.D.; Tunc, S.; Donmez, M.A.; Kozat, S.S. (Elsevier Inc., 2016)We investigate how and when to diversify capital over assets, i.e., the portfolio selection problem, from a signal processing perspective. To this end, we first construct portfolios that achieve the optimal expected growth ...
Mean semi-deviation from a target and robust portfolio choice under distribution and mean return ambiguity Pinar, M.C.; Burak Paç, A. (2014)We consider the problem of optimal portfolio choice using the lower partial moments risk measure for a market consisting of n risky assets and a riskless asset. For when the mean return vector and variance/covariance matrix ...
Vanli N.D.; Tunc S.; Donmez M.A.; Kozat S.S. (Elsevier Inc., 2016)We investigate how and when to diversify capital over assets, i.e., the portfolio selection problem, from a signal processing perspective. To this end, we first construct portfolios that achieve the optimal expected growth ...