Journal of Engineering and Applied Sciences

Year: 2017
Volume: 12
Issue: 19
Page No. 4846 - 4850

Quadratic Investment Portfolio Without a Risk-Free Asset Based on Value-at-Risk

Authors : Sukono , Pramono Sidi, Dwi Susanti and Sudradjat Supian

References

Ahmadi, H. and D. Sitdhirasdr, 2016. Portfolio optimization is one multiplication, the rest is arithmetic. J. Appl. Finance Banking, 6: 81-93.
Direct Link  |  

Alexander, S., T.F. Coleman and Y. Li, 2006. Minimizing CVaR and VaR for a portfolio of derivatives. J. Banking Finance, 30: 583-605.
CrossRef  |  

Bansal, Y., S. Kumar and P. Verma, 2014. Commodity futures in portfolio diversification: Impact on investors utility. Global Bus. Manage. Res., 6: 112-121.
Direct Link  |  

Baweja, M. and R.R. Saxena, 2015. Portfolio optimization with structured products under return constraint. Yugoslav J. Oper. Res., 25: 221-232.
CrossRef  |  Direct Link  |  

Boudt, K., P. Carl and B.G. Peterson, 2012. Asset allocation with conditional value-at-risk budgets. J. Risk, 15: 39-68.
Direct Link  |  

Cochrane, J.H., 2014. A mean variance benchmark for intertemporal portfolio theory. J. Finance, 69: 1-49.
CrossRef  |  Direct Link  |  

Ghaemi, R., J. Sun and I.V. Kolmanovsky, 2009. An integrated perturbation analysis and sequential quadratic programming approach for model predictive control. Autom., 45: 2412-2418.
Direct Link  |  

Goh, J.W., K.G. Lim, M. Sim and W. Zhang, 2012. Portfolio value-at-risk optimization for asymmetrically distributed asset returns. Eur. J. Operat. Res., 221: 397-406.
Direct Link  |  

Golafshani, Z.Y. and S. Emamipoor, 2015. Portfolio optimization using two methods of mean-variance analysis and mean risk in Tehran Stock Exchange. Tech. J. Eng. Appl. Sci., 5: 128-133.
Direct Link  |  

Hult, H., F. Lindskog, O. Hammarlid and C.J. Rehn, 2012. Risk and Portfolio Analysis: Principles and Methods. Springer, New York, USA., ISBN:978-1-4614-4102-1, Pages: 335.

Mustafa, S., S. Bano, M. Hanif and N. Jamal, 2015. Reducing portfolio quadratic programming problem into regression problem: Stepwise algorithm. J. Math., 47: 127-134.
Direct Link  |  

Ogryczak, W. and T. Sliwinski, 2010. Efficient portfolio optimization with conditional value at risk. Proceedings of the 2010 International Multi Conference on Computer Science and Information Technology (IMCSIT), October 18-20, 2010, IEEE, Poland, Europe, ISBN:978-1-4244-6432-6, pp: 901-908.

Ogryczak, W., M. PrzyƂuski and T. Sliwinski, 2015. Portfolio optimization with reward-risk ratio measure based on the conditional value-at-risk. Proceedings of the World Congress on Engineering and Computer Science (WCECS 2015), October 21-23, 2015, IAENG, San Francisco, USA., ISBN:978-988-14047-2-5, pp: 1-6.

Pinasthika, N. and B. Surya, 2014. Optimal portfolio analysis with risk-free assets using index-tracking and markowitz mean-variance portfolio optimization model. J. Bus. Manage., 3: 737-751.

Plunus1, S., R. Gillet and G. Hubner, 2015. Equivalent risky allocation: The new era of risk measurement for heterogeneous investors. Am. J. Ind. Bus. Manage., 5: 351-365.
Direct Link  |  

Qin, Z., 2015. Mean-variance model forportfolio optimization problemin the simultaneous presence of random and uncertain returns. Eur. J. Oper. Res., 245: 480-488.
Direct Link  |  

Shakouri, M. and H.W. Lee, 2016. Mean-variance portfolio analysis data for optimizing community-based photovoltaic investment. Data Brief, 6: 840-842.
Direct Link  |  

Strassberger, M., 2005. Capital requirement, portfolio risk insurance and dynamic risk budgeting. Investment Manage. Financial Innovations, 3: 1-22.
Direct Link  |  

Wang, Y., Y. Chen and Y. Liu, 2016. Modeling portfolio optimization problem by probability-credibility equilibrium risk criterion. Math. Prob. Eng., 2016: 1-13.
Direct Link  |  

Design and power by Medwell Web Development Team. © Medwell Publishing 2024 All Rights Reserved