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J. Risk Financial Manag., Volume 7, Issue 3 (September 2014) – 2 articles , Pages 110-129

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Article
Risk Measures and Portfolio Optimization
by Priscilla Serwaa Nkyira Gambrah and Traian Adrian Pirvu
J. Risk Financial Manag. 2014, 7(3), 113-129; https://doi.org/10.3390/jrfm7030113 - 22 Sep 2014
Cited by 21 | Viewed by 6405
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 [...] Read more.
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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Report on the Fifth International Mathematics in Finance (MiF) Conference 2014, Skukuza, Kruger National Park, South Africa
by Michael McAleer
J. Risk Financial Manag. 2014, 7(3), 110-112; https://doi.org/10.3390/jrfm7030110 - 19 Sep 2014
Viewed by 4527
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 [...] Read more.
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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