Gambrah, Priscilla Serwaa Nkyira; Pirvu, Traian Adrian - In: Journal of risk and financial management : JRFM 7 (2014) 3, pp. 113-129
In this paper we investigate portfolio optimization under Value at Risk, Average Value at Risk and Limited Expected … 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 …
