Portfolio Optimization for VAR, CVaR, Omega and Utility with General Return Distributions : A Monte Carlo Approach for Long-Only and Bounded Short Portfolios with Optional Robustness and a Simplified Approach to Covariance Matching
Year of publication: |
2011
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Authors: | Shaw, William Thornton |
Publisher: |
[2011]: [S.l.] : SSRN |
Subject: | Portfolio-Management | Portfolio selection | Monte-Carlo-Simulation | Monte Carlo simulation | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Korrelation | Correlation | Robustes Verfahren | Robust statistics | Optionspreistheorie | Option pricing theory | VAR-Modell | VAR model | Kapitaleinkommen | Capital income | Mathematische Optimierung | Mathematical programming |
Extent: | 1 Online-Ressource (29 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 1, 2011 erstellt |
Other identifiers: | 10.2139/ssrn.1856476 [DOI] |
Classification: | C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; C63 - Computational Techniques ; G11 - Portfolio Choice |
Source: | ECONIS - Online Catalogue of the ZBW |
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