Active Portfolio Management with Benchmarking: Adding a Value-at-Risk Constraint

SSRN Electronic Journal ◽

10.2139/ssrn.686188 ◽

2005 ◽

Cited By ~ 1

Author(s):

Gordon J. Alexander ◽

Alexandre M. Baptista

Keyword(s):

At Risk ◽

Portfolio Management ◽

Value At Risk ◽

A Value ◽

Active Portfolio Management ◽

Risk Constraint

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Active portfolio management with benchmarking: Adding a value-at-risk constraint

Journal of Economic Dynamics and Control ◽

10.1016/j.jedc.2007.03.005 ◽

2008 ◽

Vol 32 (3) ◽

pp. 779-820 ◽

Cited By ~ 45

Author(s):

Gordon J. Alexander ◽

Alexandre M. Baptista

Keyword(s):

At Risk ◽

Portfolio Management ◽

Value At Risk ◽

A Value ◽

Active Portfolio Management ◽

Risk Constraint

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Optimal inventory strategies in supply chains under a value-at-risk constraint

10.5353/th_b4440704 ◽

2010 ◽

Author(s):

Shuoyu Wang

Keyword(s):

At Risk ◽

Supply Chains ◽

Value At Risk ◽

A Value ◽

Risk Constraint

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Optimal Asset Allocation of Pension Funds under a Value-at-Risk Constraint

Korean Journal of Financial Studies ◽

10.26845/kjfs.2021.02.50.1.113 ◽

2021 ◽

Vol 50 (1) ◽

pp. 113-134

Author(s):

Jiwon Chae ◽

Bong-Gyu Jang

Keyword(s):

At Risk ◽

Asset Allocation ◽

Value At Risk ◽

Pension Funds ◽

A Value ◽

Risk Constraint

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Mean-Variance Portfolio Allocation with a Value at Risk Constraint

SSRN Electronic Journal ◽

10.2139/ssrn.272730 ◽

2001 ◽

Cited By ~ 12

Author(s):

Enrique Sentana

Keyword(s):

At Risk ◽

Value At Risk ◽

Portfolio Allocation ◽

A Value ◽

Risk Constraint ◽

Mean Variance Portfolio ◽

Mean Variance

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Optimal investment with a value-at-risk constraint

Journal of Industrial and Management Optimization ◽

10.3934/jimo.2012.8.531 ◽

2012 ◽

Vol 8 (3) ◽

pp. 531-547 ◽

Cited By ~ 9

Author(s):

Jingzhen Liu ◽

Lihua Bai ◽

Ka-Fai Cedric Yiu

Keyword(s):

At Risk ◽

Value At Risk ◽

Optimal Investment ◽

A Value ◽

Risk Constraint

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Portfolio Optimisation with a Value at Risk Constraint in the Presence of Unhedgeable Risks

SSRN Electronic Journal ◽

10.2139/ssrn.1289284 ◽

2009 ◽

Cited By ~ 2

Author(s):

Michiel Janssen

Keyword(s):

At Risk ◽

Value At Risk ◽

Portfolio Optimisation ◽

A Value ◽

Risk Constraint

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Optimal Portfolios under a Value at Risk Constraint

European Congress of Mathematics ◽

10.1007/978-3-0348-8266-8_33 ◽

2001 ◽

pp. 391-397 ◽

Cited By ~ 9

Author(s):

Ton Vorst

Keyword(s):

At Risk ◽

Value At Risk ◽

Optimal Portfolios ◽

A Value ◽

Risk Constraint

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Mean-variance optimal portfolio selection with a value-at-risk constraint

10.5353/th_b4189721 ◽

2009 ◽

Author(s):

Hui Deng

Keyword(s):

At Risk ◽

Portfolio Selection ◽

Value At Risk ◽

Optimal Portfolio ◽

A Value ◽

Optimal Portfolio Selection ◽

Risk Constraint ◽

Mean Variance

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A firm's optimizing behaviour under a value-at-risk constraint

Optimization ◽

10.1080/02331930701761573 ◽

2009 ◽

Vol 58 (2) ◽

pp. 213-226 ◽

Cited By ~ 2

Author(s):

Vanda Tulli ◽

Gerd Weinrich

Keyword(s):

At Risk ◽

Value At Risk ◽

A Value ◽

Risk Constraint

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Optimal portfolios under a value-at-risk constraint with applications to inventory control in supply chains

Journal of Industrial & Management Optimization ◽

10.3934/jimo.2008.4.81 ◽

2008 ◽

Vol 4 (1) ◽

pp. 81-94 ◽

Cited By ~ 6

Author(s):

K. F. Cedric Yiu ◽

◽

S. Y. Wang ◽

K. L. Mak ◽

Keyword(s):

At Risk ◽

Supply Chains ◽

Inventory Control ◽

Value At Risk ◽

Optimal Portfolios ◽

A Value ◽

Risk Constraint

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