Static and dynamic VaR constrained portfolios with application to delegated portfolio management
Date
2013
Authors
Pinar, M.Ç.
Editor(s)
Advisor
Supervisor
Co-Advisor
Co-Supervisor
Instructor
BUIR Usage Stats
1
views
views
27
downloads
downloads
Citation Stats
Series
Abstract
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.
Source Title
Optimization
Publisher
Course
Other identifiers
Book Title
Degree Discipline
Degree Level
Degree Name
Citation
Permalink
Published Version (Please cite this version)
Language
English