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Optimal Portfolio Allocation under a Probabilistic Risk Constraint and the Incentives for Financial Innovation

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Author Info
Jón Daníelsson (London School of Economics)
Bjørn N. Jorgensen (Harvard Business School)
Casper G. de Vries () (Erasmus University Rotterdam)
Xiaogang Yang (Chinese Academy of Sciences)

Additional information is available for the following registered author(s):

Abstract

This discussion paper resulted in a publication in Annals of Finance.

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Publisher Info
Paper provided by Tinbergen Institute in its series Tinbergen Institute Discussion Papers with number 01-069/2.

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Date of creation: 19 Jul 2001
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Handle: RePEc:dgr:uvatin:20010069

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Web page: http://www.tinbergen.nl/

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Related research
Keywords: Portfolio Optimization; Value-at-Risk; NP-hard;

Find related papers by JEL classification:
G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

This paper has been announced in the following NEP Reports:

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. 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:
  3. Ross, Stephen A, 1976. "Options and Efficiency," The Quarterly Journal of Economics, MIT Press, vol. 90(1), pages 75-89, February. [Downloadable!] (restricted)
  4. Basak, Suleyman & Shapiro, Alexander, 2001. "Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 14(2), pages 371-405.
  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)
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  6. Leland, Hayne E, 1980. " Who Should Buy Portfolio Insurance?," Journal of Finance, American Finance Association, vol. 35(2), pages 581-94, May. [Downloadable!] (restricted)
    Other versions:
  7. 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)
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