Static and dynamic VaR constrained portfolios with application to delegated portfolio management

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dc.citation.epage1432en_US
dc.citation.issueNumber11en_US
dc.citation.spage1419en_US
dc.citation.volumeNumber62en_US
dc.contributor.authorPinar, M.Ç.en_US
dc.date.accessioned2016-02-08T09:34:03Z
dc.date.available2016-02-08T09:34:03Z
dc.date.issued2013en_US
dc.departmentDepartment of Industrial Engineeringen_US
dc.description.abstractWe 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.en_US
dc.identifier.doi10.1080/02331934.2013.854785en_US
dc.identifier.issn2331934
dc.identifier.urihttp://hdl.handle.net/11693/20729
dc.language.isoEnglishen_US
dc.relation.isversionofhttp://dx.doi.org/10.1080/02331934.2013.854785en_US
dc.source.titleOptimizationen_US
dc.subjectdelegated portfolio managementen_US
dc.subjectdynamic portfolio selectionen_US
dc.subjectmean-variance efficient portfoliosen_US
dc.subjectprobabilistic chance constrainten_US
dc.subjectvalue-at-risken_US
dc.titleStatic and dynamic VaR constrained portfolios with application to delegated portfolio managementen_US
dc.typeArticleen_US
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