Long–short portfolio optimization in the presence of discrete asset choice constraints and two risk measures

This paper considers long-short portfolio optimization in the presence of two risk measures (variance and conditional value-at-risk (CVaR)), and asset choice constraints regarding buying and selling and holding thresholds, and cardinality restrictions on the number of stocks to be held in the portfo...

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Vydáno v:	The journal of risk Ročník 13; číslo 2; s. 71 - 100
Hlavní autoři:	Kumar, Ritesh, Mitra, Gautam, Roman, Diana
Médium:	Journal Article
Jazyk:	angličtina
Vydáno:	London Incisive Media Plc 01.12.2010 Incisive Media Limited
Témata:	Investment policy Investments Linear programming Optimization Performance evaluation Portfolio investments Portfolio-Management Risikomaß Risk assessment Securities markets Short sales Stock exchanges Studies
ISSN:	1465-1211, 1755-2842
On-line přístup:	Získat plný text
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