Please use this identifier to cite or link to this item: https://hdl.handle.net/10356/7197
Title: Portfolio selection with CVaR constraint.
Authors: Chua, Serene Ee Ling.
Soh, Tuck Weng.
Wee, Cheng Sim.
Keywords: DRNTU::Business::Finance::Portfolio management
Issue Date: 2002
Abstract: The purpose of this thesis is to develop a portfolio selection approach that is theoretically similar to Markowitz Mean Variance model, that is, to maximize return for a given risk; flexible enough to incorporate a wide variety of assets and risk types; and if possible able to andle portfolios with a large number of assets efficiently.
URI: http://hdl.handle.net/10356/7197
Rights: Nanyang Technological University
Fulltext Permission: restricted
Fulltext Availability: With Fulltext
Appears in Collections:NBS Theses

Files in This Item:
File Description SizeFormat 
NBS-THESES_157.pdf
  Restricted Access
2.64 MBAdobe PDFView/Open

Page view(s)

326
checked on Sep 25, 2020

Download(s)

3
checked on Sep 25, 2020

Google ScholarTM

Check

Items in DR-NTU are protected by copyright, with all rights reserved, unless otherwise indicated.