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Mean-variance portfolio selection with `at-risk' constraints and discrete distributions

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  • Alexander, Gordon J.
  • Baptista, Alexandre M.
  • Yan, Shu

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 31 (2007)
Issue (Month): 12 (December)
Pages: 3761-3781

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Handle: RePEc:eee:jbfina:v:31:y:2007:i:12:p:3761-3781

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References

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  1. Francis, Jack Clark, 1978. "Portfolio analysis of asset and liability management in small-, medium- and large-sized banks," Journal of Monetary Economics, Elsevier, vol. 4(3), pages 459-480, August.
  2. Koehn, Michael & Santomero, Anthony M, 1980. " Regulation of Bank Capital and Portfolio Risk," Journal of Finance, American Finance Association, vol. 35(5), pages 1235-44, December.
  3. Kim, Daesik & Santomero, Anthony M, 1988. " Risk in Banking and Capital Regulation," Journal of Finance, American Finance Association, vol. 43(5), pages 1219-33, December.
  4. Carlo Acerbi & Dirk Tasche, 2001. "On the coherence of Expected Shortfall," Papers cond-mat/0104295, arXiv.org, revised May 2002.
  5. Alexander, Gordon J. & Baptista, Alexandre M., 2006. "Does the Basle Capital Accord reduce bank fragility? An assessment of the value-at-risk approach," Journal of Monetary Economics, Elsevier, vol. 53(7), pages 1631-1660, October.
  6. Merton, Robert C., 1972. "An Analytic Derivation of the Efficient Portfolio Frontier," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 7(04), pages 1851-1872, September.
  7. Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
  8. Jeremy Berkowitz & James O'Brien, 2002. "How Accurate Are Value-at-Risk Models at Commercial Banks?," Journal of Finance, American Finance Association, vol. 57(3), pages 1093-1111, 06.
  9. Bertsimas, Dimitris & Lauprete, Geoffrey J. & Samarov, Alexander, 2004. "Shortfall as a risk measure: properties, optimization and applications," Journal of Economic Dynamics and Control, Elsevier, vol. 28(7), pages 1353-1381, April.
  10. Hart, Oliver D & Jaffee, Dwight M, 1974. "On the Application of Portfolio Theory to Depository Financial Intermediaries," Review of Economic Studies, Wiley Blackwell, vol. 41(1), pages 129-47, January.
  11. Vikas Agarwal, 2004. "Risks and Portfolio Decisions Involving Hedge Funds," Review of Financial Studies, Society for Financial Studies, vol. 17(1), pages 63-98.
  12. Berk, Jonathan B., 1997. "Necessary Conditions for the CAPM," Journal of Economic Theory, Elsevier, vol. 73(1), pages 245-257, March.
  13. Rochet, Jean-Charles, 1992. "Capital requirements and the behaviour of commercial banks," European Economic Review, Elsevier, vol. 36(5), pages 1137-1170, June.
  14. Rockafellar, R. Tyrrell & Uryasev, Stanislav, 2002. "Conditional value-at-risk for general loss distributions," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1443-1471, July.
  15. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, 03.
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Cited by:
  1. Zheng, Xiaojin & Sun, Xiaoling & Li, Duan & Cui, Xueting, 2012. "Lagrangian decomposition and mixed-integer quadratic programming reformulations for probabilistically constrained quadratic programs," European Journal of Operational Research, Elsevier, vol. 221(1), pages 38-48.
  2. Behr, Patrick & Guettler, Andre & Truebenbach, Fabian, 2012. "Using industry momentum to improve portfolio performance," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1414-1423.
  3. MencĂ­a, Javier, 2012. "Assessing the risk-return trade-off in loan portfolios," Journal of Banking & Finance, Elsevier, vol. 36(6), pages 1665-1677.
  4. Mandal, Maitreyi & Lagerkvist, Carl Johan, 2012. "A Comparison of Traditional and Copula based VaR with Agricultural portfolio," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 124387, Agricultural and Applied Economics Association.
  5. Fulbert, Tchana Tchana & Georges, Tsafack, 2013. "The Implications of VaR and Short-Selling Restrictions on the Portfolio Manager Performance," MPRA Paper 43797, University Library of Munich, Germany.
  6. Larsen, Ryan A. & Vedenov, Dmitry V. & Leatham, David J., 2009. "Enterprise-level risk assessment of geographically diversified commercial farms: a copula approach," 2009 Annual Meeting, January 31-February 3, 2009, Atlanta, Georgia 46763, Southern Agricultural Economics Association.
  7. Andrew Chen & Frank Fabozzi & Dashan Huang, 2012. "Portfolio revision under mean-variance and mean-CVaR with transaction costs," Review of Quantitative Finance and Accounting, Springer, vol. 39(4), pages 509-526, November.
  8. Chen, Songjiao & Wilson, William W. & Larsen, Ryan A. & Dahl, Bruce L., 2013. "Investing in Agriculture as an Asset Class," Agribusiness & Applied Economics Report 147053, North Dakota State University, Department of Agribusiness and Applied Economics.
  9. Behr, Patrick & Guettler, Andre & Miebs, Felix, 2013. "On portfolio optimization: Imposing the right constraints," Journal of Banking & Finance, Elsevier, vol. 37(4), pages 1232-1242.
  10. Ye, Jun & Li, Tiantian, 2012. "The optimal mean–variance investment strategy under value-at-risk constraints," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 344-351.

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