Open AccessModeling of Mean-VaR portfolio optimization by risk tolerance when the utility function is quadratic
Author(s) -
Sukono Sukono,
Pramono Sidi,
Abdul Talib Bon,
Sudradjat Supian
Publication year - 2017
Publication title -
aip conference proceedings
Language(s) - English
Resource type - Conference proceedings
SCImago Journal Rank - 0.177
H-Index - 75
eISSN - 1551-7616
pISSN - 0094-243X
DOI - 10.1063/1.4979451
Subject(s) - portfolio optimization , rate of return on a portfolio , portfolio , mathematical optimization , weighting , econometrics , modern portfolio theory , mathematics , covariance matrix , value at risk , computer science , actuarial science , economics , financial economics , statistics , finance , risk management , medicine , radiology
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