Theory of optimal consumption and portfolio selection under a Capital-at-Risk (CaR) and a Value-at-Risk (VaR) constraint

IMA Journal of Management Mathematics ◽

10.1093/imaman/dph031 ◽

2005 ◽

Vol 16 (1) ◽

pp. 37-70 ◽

Author(s):

C. Atkinson

Keyword(s):

At Risk ◽

Portfolio Selection ◽

Value At Risk ◽

Optimal Consumption ◽

A Value ◽

Capital At Risk

Download Full-text

Optimal portfolio selection in a Value-at-Risk framework

Journal of Banking & Finance ◽

10.1016/s0378-4266(00)00160-6 ◽

2001 ◽

Vol 25 (9) ◽

pp. 1789-1804 ◽

Author(s):

Rachel Campbell ◽

Ronald Huisman ◽

Kees Koedijk

Keyword(s):

At Risk ◽

Portfolio Selection ◽

Value At Risk ◽

Optimal Portfolio ◽

A Value ◽

Risk Framework ◽

Optimal Portfolio Selection

Download Full-text

Mean-variance optimal portfolio selection with a value-at-risk constraint

10.5353/th_b4189721 ◽

2009 ◽

Author(s):

Hui Deng

Keyword(s):

At Risk ◽

Portfolio Selection ◽

Value At Risk ◽

Optimal Portfolio ◽

A Value ◽

Optimal Portfolio Selection ◽

Risk Constraint ◽

Download Full-text

Optimal portfolio selection in a Value-at-Risk framework: Markov-Switching GARCH Approach

Asian Journal of Research in Banking and Finance ◽

10.5958/2249-7323.2014.01412.6 ◽

2014 ◽

Vol 4 (10) ◽

pp. 62

Author(s):

Hossein Asgharpur ◽

Ali Rezazadeh

Keyword(s):

At Risk ◽

Portfolio Selection ◽

Value At Risk ◽

Markov Switching ◽

Optimal Portfolio ◽

A Value ◽

Risk Framework ◽

Optimal Portfolio Selection

Download Full-text

Comment on “Optimal portfolio selection in a value-at-risk framework”

Journal of Banking & Finance ◽

10.1016/j.jbankfin.2003.06.008 ◽

2005 ◽

Vol 29 (12) ◽

pp. 3181-3185

Author(s):

Hung-Hsi Huang

Keyword(s):

At Risk ◽

Portfolio Selection ◽

Value At Risk ◽

Optimal Portfolio ◽

A Value ◽

Risk Framework ◽

Optimal Portfolio Selection

Download Full-text

Stress Testing in a Value at Risk Framework

10.2469/dig.v29.n2.483 ◽

1999 ◽

Vol 29 (2) ◽

pp. 76-78

Author(s):

Thomas J. Latta

Keyword(s):

At Risk ◽

Value At Risk ◽

Stress Testing ◽

A Value ◽

Download Full-text

Central bank vulnerability and the credibility of its commitments: a value-at-risk approach

The Journal of Risk ◽

10.21314/jor.1999.017 ◽

1999 ◽

Vol 2 (1) ◽

pp. 37-55 ◽

Author(s):

Mario Blejer ◽

Liliana Schumacher

Keyword(s):

At Risk ◽

Central Bank ◽

Value At Risk ◽

A Value ◽

Download Full-text

Mitigating Procyclicality in Basel II: A Value at Risk Based Remedy

SSRN Electronic Journal ◽

10.2139/ssrn.2354879 ◽

2002 ◽

Author(s):

Daniel Roesch

Keyword(s):

At Risk ◽

Value At Risk ◽

Basel Ii ◽

Download Full-text

Measuring risk spillover effects on dry bulk shipping market: a value-at-risk approach

Maritime Policy & Management ◽

10.1080/03088839.2021.1889064 ◽

2021 ◽

pp. 1-19

Author(s):

Jialin Yang ◽

Xin Zhang ◽

Ying-En Ge

Keyword(s):

At Risk ◽

Value At Risk ◽

Spillover Effects ◽

A Value ◽

Bulk Shipping ◽

Risk Approach ◽

Risk Spillover Effects

Download Full-text

Do hedge funds have enough capital? A value-at-risk approach

Journal of Financial Economics ◽

10.1016/j.jfineco.2004.06.005 ◽

2005 ◽

Vol 77 (1) ◽

pp. 219-253 ◽

Author(s):

A GUPTA ◽

B LIANG

Keyword(s):

At Risk ◽

Hedge Funds ◽

Value At Risk ◽

A Value ◽

Download Full-text

Asset/Liability Management of German Life Insurance Companies: A Value-at-Risk Approach in the Presence of Interest Rate Guarantees

Risk Management ◽

10.1007/3-540-26993-2_20 ◽

2005 ◽

pp. 407-419

Author(s):

Peter Albrecht ◽

Carsten Weber

Keyword(s):

At Risk ◽

Interest Rate ◽

Life Insurance ◽

Value At Risk ◽

Insurance Companies ◽

Asset Liability Management ◽

Liability Management ◽

A Value ◽

Risk Approach ◽

Download Full-text