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J. Risk Financial Manag., Volume 7, Issue 3 (September 2014), Pages 110-129

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Research

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Open AccessArticle Risk Measures and Portfolio Optimization
J. Risk Financial Manag. 2014, 7(3), 113-129; doi:10.3390/jrfm7030113
Received: 14 July 2014 / Revised: 28 August 2014 / Accepted: 12 September 2014 / Published: 22 September 2014
Cited by 1 | PDF Full-text (438 KB) | HTML Full-text | XML Full-text
Abstract
In this paper we investigate portfolio optimization under Value at Risk, Average Value at Risk and Limited Expected Loss constraints in a continuous time framework, where stocks follow a geometric Brownian motion. Analytic expressions for Value at Risk, Average Value at Risk and
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In this paper we investigate portfolio optimization under Value at Risk, Average Value at Risk and Limited Expected Loss constraints in a continuous time framework, where stocks follow a geometric Brownian motion. Analytic expressions for Value at Risk, Average Value at Risk and Limited Expected Loss are derived. We solve the problem of minimizing risk measures applied to portfolios. Moreover, the portfolio’s expected return is maximized subject to the aforementioned risk measures. We illustrate the effect of these risk measures on portfolio optimization by using numerical experiments. Full article

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Open AccessBrief Report Report on the Fifth International Mathematics in Finance (MiF) Conference 2014, Skukuza, Kruger National Park, South Africa
J. Risk Financial Manag. 2014, 7(3), 110-112; doi:10.3390/jrfm7030110
Received: 10 September 2014 / Accepted: 15 September 2014 / Published: 19 September 2014
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Abstract
The Journal of Risk and Financial Management was first published in 2008, and, since its inception, has published a number of theoretical and empirical papers on various topics in risk and financial management, in pursuit of its stated goal of advancing knowledge and
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The Journal of Risk and Financial Management was first published in 2008, and, since its inception, has published a number of theoretical and empirical papers on various topics in risk and financial management, in pursuit of its stated goal of advancing knowledge and understanding in the practice of risk and financial management through the publication of high quality papers that are relevant to practitioners in the field.[...] Full article

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