Value-at-Risk Efficient Portfolio Selection Using Goal Programming

Hsin-Hung Chen ()
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Hsin-Hung Chen: Department of Business Administration, Cheng Shiu University, No. 840, Chengcing Rd., Niaosong Township, Kaohsiung County 833, Taiwan

Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2008, vol. 11, issue 02, 187-200

Abstract: The purpose of this study is to apply polynomial goal programming to establish a new portfolio selection model that considers the tradeoffs between expected return and Value-at-Risk (VaR) of portfolios and the flexibility of incorporating investor's preferences. The historical data of 10 international stock markets of Pacific Rim countries were used in the empirical analysis. The results showed that the proposed model demonstrated the ability to resolve the problems of a traditional asset allocation model. The validity and fitness of the proposed model were confirmed.

Keywords: Efficient frontier; portfolio selection; polynomial goal programming; Value-at-Risk (VaR) (search for similar items in EconPapers)
JEL-codes: G1 G2 G3 (search for similar items in EconPapers)
Date: 2008
References: View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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DOI: 10.1142/S0219091508001313

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