Optimal portfolios with stress analysis and the effect of a CVaR constraint (PJO) |
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Volume 7
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Number 1
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pp. 83-95
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Optimal portfolios with stress analysis and the effect of a CVaR constraint |
J.Z. Liu, K.F.C. Yiu and K.L.Teo |
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Key words |
Mathematices Subject Classification |
optimal portfolio, stress testing, conditional-value-at-risk, jump-diffusion |
49L20, 49M25 |
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Copyright© 2011 Yokohama Publishers |
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