Optimal portfolios with stress analysis and the effect of a CVaR constraint (PJO)
Volume 7
Number 1
pp. 83-95

Optimal portfolios with stress analysis and the effect of a CVaR constraint
J.Z. Liu, K.F.C. Yiu and K.L.Teo

Key words Mathematices Subject Classification
optimal portfolio, stress testing, conditional-value-at-risk, jump-diffusion 49L20, 49M25

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