SHEN Pei-long, REN Ruo-en. VaR Based Optimal Portfolio Selection StrategyJ. Journal of Beijing University of Aeronautics and Astronautics Social Sciences Edition, 2003, 16(1): 57-62.
Citation:
SHEN Pei-long, REN Ruo-en. VaR Based Optimal Portfolio Selection StrategyJ. Journal of Beijing University of Aeronautics and Astronautics Social Sciences Edition, 2003, 16(1): 57-62.
SHEN Pei-long, REN Ruo-en. VaR Based Optimal Portfolio Selection StrategyJ. Journal of Beijing University of Aeronautics and Astronautics Social Sciences Edition, 2003, 16(1): 57-62.
Citation:
SHEN Pei-long, REN Ruo-en. VaR Based Optimal Portfolio Selection StrategyJ. Journal of Beijing University of Aeronautics and Astronautics Social Sciences Edition, 2003, 16(1): 57-62.
Inthis paper , onthe basis of Markowitz portfolio selectiontheory , a newoptimal portfolio selection strategyis investigated by using the VaR ( Value-at-Risk) method . This strategy describes investors’preference to risk and return, and matches the maximal return and minimal risk under a given confidence level .
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