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Journal of Risk and Financial Management, Volume 7, Issue 3

2014 September - 2 articles

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Article

22 Citations

7,831 Views

17 Pages

Risk Measures and Portfolio Optimization

Priscilla Serwaa Nkyira Gambrah and
Traian Adrian Pirvu

J. Risk Financial Manag.2014, 7(3), 113-129;https://doi.org/10.3390/jrfm7030113

22 September 2014

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 Ri...

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Brief Report

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3 Pages

Report on the Fifth International Mathematics in Finance (MiF) Conference 2014, Skukuza, Kruger National Park, South Africa

Michael McAleer

J. Risk Financial Manag.2014, 7(3), 110-112;https://doi.org/10.3390/jrfm7030110

19 September 2014

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 advanc...

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J. Risk Financial Manag. - ISSN 1911-8074

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