Daníelsson, Jón; Jorgensen, Bjørn N.; Vries, Casper G. de - Tinbergen Instituut - 2001
We characterize the investor’s optimal portfolio allocation subject to a budget constraint and a probabilistic VaR constraint in complete markets environments with a finite number of states. The set of feasible portfolios might no longer be connected or convex, while the number of local optima...
