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Goh et al., 2012 - Google Patents

Portfolio value-at-risk optimization for asymmetrically distributed asset returns

Goh et al., 2012

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Document ID
11633537249946710436
Author
Goh J
Lim K
Sim M
Zhang W
Publication year
Publication venue
European Journal of Operational Research

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Snippet

We propose a new approach to portfolio optimization by separating asset return distributions into positive and negative half-spaces. The approach minimizes a newly-defined Partitioned Value-at-Risk (PVaR) risk measure by using half-space statistical information. Using …
Continue reading at ink.library.smu.edu.sg (PDF) (other versions)

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