Optimal portfolios with stress analysis and the effect of a CVAR constraint

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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...

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Bibliographic Details
Main Authors:	Liu, J., Yiu, Ka Fai, Teo, Kok Lay
Format:	Journal Article
Published:	Yokohama Publishers 2011
Online Access:	http://hdl.handle.net/20.500.11937/9430

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