IDEAS home Printed from
   My bibliography  Save this article

Optimal Portfolio Selection in a Value at Risk Framework


  • Drãgoi Cãtãlin

    () (Financial and Monetary Research Center „Victor Slãvescu”, Bucharest, Romania)

  • Piciu Gabriela Cornelia

    () (Financial and Monetary Research Center „Victor Slãvescu”, Bucharest, Romania)

  • Chiþiga Georgiana

    (Financial and Monetary Research Center „Victor Slãvescu”, Bucharest, Romania)


The non-normality of asset return distributions has been a stylized fact in the empirical finance literature. Fat-tailedness, in particular, can have significant impact on the accuracy in computing value at risk (VaR), which became popular from the mid – 1990s as a primary measure of market risks arising from the trading activities of banks. The primary purpose of this study is to develop methodology VaR. At first VAR was only an educated estimate of the market risk, relative to a previously specified portfolio. VAR of a portfolio is a single figure, expressed in units of currency, summarizing within a specified holding period on a previously given confidence level.. All of these methods have different statistical assumptions and VAR results depend on the chosen method for a specified portfolio.

Suggested Citation

  • Drãgoi Cãtãlin & Piciu Gabriela Cornelia & Chiþiga Georgiana, 2012. "Optimal Portfolio Selection in a Value at Risk Framework," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(2), pages 1080-1084, Decembre.
  • Handle: RePEc:ovi:oviste:v:xii:y:2012:i:2:p:1080-1084

    Download full text from publisher

    File URL:
    Download Restriction: no

    More about this item


    methodology VaR; Monte Carlo simulation; Stress Testing; Back-Testing; Risk Metrics;

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions


    Access and download statistics


    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:ovi:oviste:v:xii:y:2012:i:2:p:1080-1084. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Gheorghiu Gabriela). General contact details of provider: .

    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 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.

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

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.