IDEAS home Printed from https://ideas.repec.org/a/ibf/acttax/v3y2011i1p15-32.html
   My bibliography  Save this article

Optimal Investment For Institutional Investors Under Value-At-Risk Constraints In Chinese Stock Markets

Author

Listed:
  • ZhengXiong Chen
  • Ayse Yuce

Abstract

Value at Risk (VaR) is defined as the worst expected loss under normal market conditions over a specific time interval at a given confidence level. Given the widespread usage of VaR, it becomes increasingly important to study the effects of the portfolio optimization subject to the VaR constraint set by the fund manager. In this paper, we examine the classical portfolio optimization models and the most popular VaR methodologies. We show that the portfolio optimization models under VaR constraint provide the clear insight to the mean-variance decision. We also consider the problem with the extra tracking error constraint. Furthermore, we provide an empirical analysis on the model by using China’s market data. VaR estimates are produced via Monte Carlo simulations.

Suggested Citation

  • ZhengXiong Chen & Ayse Yuce, 2011. "Optimal Investment For Institutional Investors Under Value-At-Risk Constraints In Chinese Stock Markets," Accounting & Taxation, The Institute for Business and Finance Research, vol. 3(1), pages 15-32.
    • Handle: RePEc:ibf:acttax:v:3:y:2011:i:1:p:15-32
    as

    Download full text from publisher

    File URL: http://www.theibfr2.com/RePEc/ibf/acttax/at-v3n1-2011/AT-V3N1-2011-2.pdf
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Portfolio optimization; mean-variance; VaR; Monte Carlo;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ibf:acttax:v:3:y:2011:i:1:p:15-32. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Mercedes Jalbert (email available below). General contact details of provider: .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.