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 | Schools: | Nanyang Business School | Rights: | Nanyang Technological University | Fulltext Permission: | restricted | Fulltext Availability: | With Fulltext |
| Appears in Collections: | NBS Theses |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| NBS-THESES_157.pdf Restricted Access | 2.64 MB | Adobe PDF | View/Open |
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