Optimal portfolios with stress analysis and the effect of a CVAR constraint
Risk-constrained allocation of risky assets in financial portfolios is particularly important in situations when asset returns appear to have large fluctuations. This problem is addressed here. The asset price is assumed to be driven by a Brownian motion perturbed by a compound Poisson process. This...
| Main Authors: | , , |
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| Format: | Journal Article |
| Published: |
Yokohama Publishers
2011
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| Online Access: | http://hdl.handle.net/20.500.11937/9430 |