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

2008 ◽  
Vol 4 (1) ◽  
pp. 81-94 ◽  
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

Optimal portfolios with regime switching and value-at-risk constraint

Automatica ◽  
2010 ◽  
Vol 46 (6) ◽  
pp. 979-989 ◽  
Author(s):  
Ka-Fai Cedric Yiu ◽  
Jingzhen Liu ◽  
Tak Kuen Siu ◽  
Wai-Ki Ching
Keyword(s):  
At Risk ◽  
Regime Switching ◽  
Value At Risk ◽  
Optimal Portfolios ◽  
Risk Constraint

scholarly journals Optimal investment with a value-at-risk constraint

2012 ◽  
Vol 8 (3) ◽  
pp. 531-547 ◽  
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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