[EN] This paper is concerned with asset allocation under real constraints when
VaR is the risk measure to minimize. Our paper makes a contribution in several ways,
we use a risk measure that is not linear programming ...
Alfaro Cid, Eva; Baixauli-Soler, J. Samuel; Fernández-Blanco, Matilde O.(Inderscience, 2011)
[EN] In this paper, we develop a general framework for market risk
optimisation that focuses on VaR. The reason for this choice is the complexity
and problems associated with risk return optimisation (non-convex and ...