Modeling of Mean-VaR portfolio optimization by risk tolerance when the utility function is quadratic

The problems of investing in financial assets are to choose a combination of weighting a portfolio can be maximized return expectations and minimizing the risk. This paper discusses the modeling of Mean-VaR portfolio optimization by risk tolerance, when square-shaped utility functions. It is assumed...

Ausführliche Beschreibung

Bibliographische Detailangaben

Hauptverfasser:	Sukono, Sidi, Pramono, Bon, Abdul Talib bin, Supian, Sudradjat
Format:	Tagungsbericht
Sprache:	eng
Online-Zugang:	Volltext
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!