文章基本信息

标题：The Portfolio Decision under the VAR Restriction
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作者：Jinwen Wu
期刊名称：Asian Social Science
印刷版ISSN：1911-2017
电子版ISSN：1911-2025
出版年度：2008
卷号：4
期号：2
页码：58
DOI：10.5539/ass.v4n2p58
出版社：Canadian Center of Science and Education
摘要：The , a new appearing financial risk-manage tool, have been applied widely. Many financial setups have accustomed to measure the risk of a portfolio with the . So it is very necessary to discuss the portfolio choice problem under the constraint. In this paper, by setting and solving the portfolio choice model under the constraint, we illustrate that the use of the constraint reduces the array of choice to a more manageable range. The probability of target , therefore, can be thought of as a risk tolerance assessment tool (when coupled with another measure of risk).