A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem [An article from: European Journal of Operational Research] | ![A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem [An article from: European Journal of Operational Research]](http://ecx.images-amazon.com/images/I/51G4P0G7AGL._SL160_.jpg)
 enlarge | Authors: S. Benati, R. Rizzi
Publisher: Elsevier
Category: Book
Buy New: $7.95
Format: Html
Media: Digital
Publication Date: January 1, 2007
Availability: Available for download now
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Product Description
This digital document is a journal article from European Journal of Operational Research, published by Elsevier in 2007. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.
Description:
In this paper, we consider an extension of the Markovitz model, in which the variance has been replaced with the Value-at-Risk. So a new portfolio optimization problem is formulated. We showed that the model leads to an NP-hard problem, but if the number of past observation T or the number of assets K are low, e.g. fixed to a constant, polynomial time algorithms exist. Furthermore, we showed that the problem can be formulated as an integer programming instance. When K and T are large and @a^V^a^R is small-as common in financial practice-the computational results show that the problem can be solved in a reasonable amount of time.
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