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Portfolio Choice Problem with the Value-at-Risk Utility Function under General Linear Constraints
Company: Theoretical and Methodological Problems of Economic Cybernetics
Year Of Publication: 2012
Month Of Publication: January
Resource Link: Click here to open
Pages: 4-10
Download Count: 0
View Count: 1199
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 4-21-2014
Publisher: Administrator
Summary
In the paper it is proposed to construct the portfolio on the basis of utility maximization with the VaR as a tool for risk calculation.
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Author(s)
Zabolotskyy, Tara Sign in to follow this author
Bodnar, Taras Sign in to follow this author
Vitlinskyy, V.V. Sign in to follow this author
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