Optimal portfolios under a value-at-risk constraint

By Ka Fai Cedric Yiu. 2004

69 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/301be53f14a0f3de41cb369dbab1300cdcc35070

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Jun Cai
2. Junna Bi
3. Yichun Chi
4. Ken Seng Tan
5. Chengguo Weng
6. Yi Zhang

In Finance

1. Jun Cai
2. Junna Bi
3. Qihe Tang

In Management Science and Operations Research

1. Jun Cai
2. Junna Bi
3. Ken Seng Tan
4. Yichun Chi
5. Qihe Tang
6. Chengguo Weng
7. Yi Zhang
8. Fadoua Balabdaoui

Citations in the corpus

• Optimal investment–reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets (2019, background): “Other works about optimal investment or optimal reinsurance problems with VaR constraints can be found in Yiu (2004), Zhang et al. (2016), Chen et al. (2018) and the references therein.”