Risk Allocation Under Shortfall Constraints
نویسندگان
چکیده
منابع مشابه
Stochastic Optimisation for Allocation Problem with Shortfall Risk Constraints
One of the most important aspects in asset allocation problems is the assumption concerning the probability distribution of asset returns. Financial managers generally suppose normal distribution, even if extreme realizations usually have an higher frequency than in the Gaussian case. We propose a general Monte Carlo simulation approach in order to solve an asset allocation problem with shortfa...
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ژورنال
عنوان ژورنال: The Journal of Portfolio Management
سال: 2004
ISSN: 0095-4918,2168-8656
DOI: 10.3905/jpm.2004.319929