Tagged Questions

votes

5answers

1k views

portfolio optimisation with VaR (or CVaR) constraints

I would like to optimize a portfolio allocation (maximizing the exposure or the expected return), but with VaR or CVaR contraints. (some parts of my portfolio cannot exceed a certain VaR) How can I ...

asked Aug 10 '12 at 4:56

RockScience
834315

newest portfolio-management var questions feed

Technology			Life / Arts	Culture / Recreation	Science	Other
Stack Overflow Server Fault Super User Web Applications Ask Ubuntu Webmasters Game Development TeX - LaTeX	Programmers Unix & Linux Ask Different (Apple) WordPress Answers Geographic Information Systems Electrical Engineering Android Enthusiasts IT Security	Database Administrators Drupal Answers SharePoint User Experience Mathematica more (14)	Photography Science Fiction & Fantasy Seasoned Advice (cooking) Home Improvement more (13)	English Language & Usage Skeptics Mi Yodeya (Judaism) Travel Arqade (gaming) Bicycles Role-playing Games more (22)	Mathematics Cross Validated (stats) Theoretical Computer Science Physics more (7)	Stack Apps Meta Stack Overflow Area 51 Stack Overflow Careers

rev 2013.5.23.698

Quantitative Finance Stack Exchange works best with JavaScript enabled

Tagged Questions

portfolio optimisation with VaR (or CVaR) constraints

Related Tags