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Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation

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  • Jón Daníelsson

    ()

  • Bjørn Jorgensen

    ()

  • Casper Vries

    ()

  • Xiaoguang Yang

    ()

Abstract

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File URL: http://hdl.handle.net/10.1007/s10436-007-0081-3
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Bibliographic Info

Article provided by Springer in its journal Annals of Finance.

Volume (Year): 4 (2008)
Issue (Month): 3 (July)
Pages: 345-367

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Handle: RePEc:kap:annfin:v:4:y:2008:i:3:p:345-367

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Web page: http://www.springerlink.com/link.asp?id=112370

Related research

Keywords: Portfolio optimization; Value-at-risk; Computational complexity; State–price density; G11;

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References

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  1. Hayne E. Leland., 1979. "Who Should Buy Portfolio Insurance?," Research Program in Finance Working Papers 95, University of California at Berkeley.
  2. Franklin Allen & Douglas Gale, . "Optimal Security Design," Rodney L. White Center for Financial Research Working Papers 26-87, Wharton School Rodney L. White Center for Financial Research.
  3. Grossman, Sanford J & Vila, Jean-Luc, 1989. "Portfolio Insurance in Complete Markets: A Note," The Journal of Business, University of Chicago Press, vol. 62(4), pages 473-76, October.
  4. Mark Grinblatt & Francis A. Longstaff, 2000. "Financial Innovation and the Role of Derivative Securities: An Empirical Analysis of the Treasury STRIPS Program," Journal of Finance, American Finance Association, vol. 55(3), pages 1415-1436, 06.
  5. Dert, Cees & Oldenkamp, Bart, 1997. "Optimal guaranteed return portfolios and the casino effect," Serie Research Memoranda 0025, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  6. Rohit Rahi & José M. Marín, 1999. "Speculative securities," Economic Theory, Springer, vol. 14(3), pages 653-668.
  7. Suleyman Basak & Alex Shapiro, . "Value-at-Risk Based Risk Management: Optimal Policies and Asset Prices," Rodney L. White Center for Financial Research Working Papers 06-99, Wharton School Rodney L. White Center for Financial Research.
  8. Ross, Stephen A, 1976. "Options and Efficiency," The Quarterly Journal of Economics, MIT Press, vol. 90(1), pages 75-89, February.
  9. Miller, Merton H., 1986. "Financial Innovation: The Last Twenty Years and the Next," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 21(04), pages 459-471, December.
  10. Arzac, Enrique R. & Bawa, Vijay S., 1977. "Portfolio choice and equilibrium in capital markets with safety-first investors," Journal of Financial Economics, Elsevier, vol. 4(3), pages 277-288, May.
  11. Green, Richard C. & Rydqvist, Kristian, 1999. "Ex-day behavior with dividend preference and limitations to short-term arbitrage: the case of Swedish lottery bonds," Journal of Financial Economics, Elsevier, vol. 53(2), pages 145-187, August.
  12. Schilbred, Cornelius M, 1973. "The Market Price of Risk," Review of Economic Studies, Wiley Blackwell, vol. 40(2), pages 283-92, April.
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Citations

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Cited by:
  1. Wu, Meng & Zhu, Stuart X. & Teunter, Ruud H., 2013. "The risk-averse newsvendor problem with random capacity," European Journal of Operational Research, Elsevier, vol. 231(2), pages 328-336.
  2. E. Birgin & L. Bueno & N. Krejić & J. Martínez, 2011. "Low order-value approach for solving VaR-constrained optimization problems," Journal of Global Optimization, Springer, vol. 51(4), pages 715-742, December.
  3. Hałaj, Grzegorz, 2013. "Optimal asset structure of a bank - bank reactions to stressful market conditions," Working Paper Series 1533, European Central Bank.
  4. Ba Chu, 2012. "Large deviations estimation of the windfall and shortfall probabilities for optimal diversified portfolios," Annals of Finance, Springer, vol. 8(1), pages 97-122, February.
  5. Frank Milne, 2008. "Credit Crises, Risk Management Systems and Liquidity Modelling," Working Papers 1, John Deutsch Institute for the Study of Economic Policy.

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