Optimal portfolio selection: The value at risk case

R Bramante () and B Cazzaniga
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R Bramante: Laboratory of Applied Statistics, Università Cattolica del Sacro Cuore
B Cazzaniga: Lecturer at Milan Catholic University

Journal of Asset Management, 2000, vol. 1, issue 2, No 3, 132-137

Abstract: Abstract In modern portfolio theory, the goal is to maximise the expected return subject to some risk constraint. There is no standard definition of risk. In our approach, we develop an asset allocation model in which the asset candidates to enter the optimal portfolio are chosen in order to meet a shortfall constraint defined as a value at risk limit relative to a specified benchmark, which reflects the potential downside risk of the portfolio.

Keywords: asset allocation; value at risk; downside risk (search for similar items in EconPapers)
Date: 2000
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DOI: 10.1057/palgrave.jam.2240010

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