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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.
Rights: Nanyang Technological University
Fulltext Permission: restricted
Fulltext Availability: With Fulltext
Appears in Collections:NBS Theses

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