Reward-risk portfolio selection and stochastic dominance

Article Abstract:

A mathematical model for arriving at an optimal reward-risk ratio useful for portfolio management is presented. Within the portfolio the selection is based on the stochastic dominance of the investments.

Author: Giorgi, Enrico De
Publisher: Elsevier B.V.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 2005
Switzerland, Analysis, Usage, Investments, Stochastic analysis, Mathematical models

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The hidden dangers of historical simulation

Article Abstract:

The usage of historical value-at-risk computation methods for analyzing the risk factors associated with portfolio management is presented.

Author: Pritsker, Matthew
Publisher: Elsevier B.V.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 2006

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Minimizing CVaR and VaR for a portfolio of derivatives

Article Abstract:

The process of optimizing portfolio risk factors by using value at risk and conditional value risk is presented.

Author: Coleman, T.F., Y. Li, Alexander, S.
Publisher: Elsevier B.V.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 2006
Capital funds & cash flow, Derivatives (Financial instruments), Valuation

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Subjects list: Methods, Risk assessment, Portfolio management, United States
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