Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/178549
Authors: 
Gambrah, Priscilla Serwaa Nkyira
Pirvu, Traian Adrian
Year of Publication: 
2014
Citation: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 7 [Year:] 2014 [Issue:] 3 [Pages:] 113-129
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 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.
Subjects: 
risk management
value-at-risk
average value-at-risk
limited expected loss
geometric Brownian motion
optimal portfolio strategy
Persistent Identifier of the first edition: 
Creative Commons License: 
https://creativecommons.org/licenses/by/4.0/
Document Type: 
Article

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