English, Article edition: Value-at-Risk Efficient Portfolio Selection Using Goal Programming Hsin-Hung Chen

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/132363
Physical Description
  • article
Language
  • English

Edition details

Title
  • Value-at-Risk Efficient Portfolio Selection Using Goal Programming
Author
  • Hsin-Hung Chen
Physical Description
  • article
Notes
  • The purpose of this study is to apply polynomial goal programming to establish a new portfolio selection model that considers the tradeoffs between expected return and Value-at-Risk (VaR) of portfolios and the flexibility of incorporating investor's preferences. The historical data of 10 international stock markets of Pacific Rim countries were used in the empirical analysis. The results showed that the proposed model demonstrated the ability to resolve the problems of a traditional asset allocation model. The validity and fitness of the proposed model were confirmed.
  • Efficient frontier, portfolio selection, polynomial goal programming, Value-at-Risk (VaR)
  • RePEc:wsi:rpbfmp:v:11:y:2008:i:02:p:187-200
Language
  • English
Contributed by
OAIster

Get this edition

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment