RISK-BASED OPTIMIZATION OF A PORTFOLIO. APPLICATION IN CASE OF STOCKS LISTED ON THE BUCHAREST STOCK EXCHANGE

This paper is dedicated to the conceptual and methodologic development of the optimization for asset portofolio and we attack the problem in three stages: selecting assets, risk estimation, solving the optimization problem. We select assets in the portfolio using principal components analysis in order to construct the initial portfolio. Then we select from each of the classes obtained those assets that correspond to the minimum measure Value-at-Risk at a fixed probability level. Originality of our study consists of a combination of classification theory, of estimating the risk and optimization techniques. To illustrate our developped method we consider the case of an equity portfolio at the Bucharest Stock Exchange.