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

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Author Info
Jón Daníelsson ()
Bjørn Jorgensen ()
Casper Vries ()
Xiaoguang Yang ()

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Abstract

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File URL: http://hdl.handle.net/10.1007/s10436-007-0081-3
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Publisher 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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Related research
Keywords: Portfolio optimization; Value-at-risk; Computational complexity; State–price density; G11;

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. 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. [Downloadable!]
  2. Schilbred, Cornelius M, 1973. "The Market Price of Risk," Review of Economic Studies, Blackwell Publishing, vol. 40(2), pages 283-92, April. [Downloadable!] (restricted)
  3. Franklin Allen, Douglas Gale, 1988. "Optimal Security Design," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 1(3), pages 229-263. [Downloadable!] (restricted)
    Other versions:
  4. Ross, Stephen A, 1976. "Options and Efficiency," The Quarterly Journal of Economics, MIT Press, vol. 90(1), pages 75-89, February. [Downloadable!] (restricted)
  5. Grossman, Sanford J & Vila, Jean-Luc, 1989. "Portfolio Insurance in Complete Markets: A Note," Journal of Business, University of Chicago Press, vol. 62(4), pages 473-76, October. [Downloadable!] (restricted)
    Other versions:
  6. 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. [Downloadable!] (restricted)
  7. 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. [Downloadable!] (restricted)
  8. Leland, Hayne E, 1980. " Who Should Buy Portfolio Insurance?," Journal of Finance, American Finance Association, vol. 35(2), pages 581-94, May. [Downloadable!] (restricted)
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  9. 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. [Downloadable!] (restricted)
  10. 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. [Downloadable!]
  11. José M. Marín & Rohit Rahi, 1997. "Speculative Securities," Economics Working Papers 223, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Frank Milne, 2008. "Credit Crises, Risk Management Systems and Liquidity Modelling," Working Papers 1, John Deutsch Institute for the Study of Economic Policy. [Downloadable!]
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