Mean-Value-at-Risk Portfolio Optimization Based on Risk Tolerance Preferences and Asymmetric Volatility
Investors generally aim to obtain a high return from their stock portfolio. However, investors must realize that a high value-at-risk (VaR) is essential to calculate for this aim. One of the objects in the VaR calculation is the asymmetric return volatility of stocks, which causes an unbalanced decr...
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| Principais autores: | , , , , , |
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| 格式: | Artigo |
| 語言: | Inglês |
| 出版: |
MDPI AG
2023-11-01
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| 叢編: | Mathematics |
| 主題: | |
| 在線閱讀: | https://www.mdpi.com/2227-7390/11/23/4761 |
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