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- W2355444744 abstract "Value at Risk is an important method of risk management, which can measure possible exposure of a given portfolio of securities in financial markets. In this paper, we first introduced the notion of VaR into the investment of insurance fund, then adapted a stochastic optimization method and studied how to find a portfolio among given set of securities which would provide the maximal yield and at the same time satisfy the constraints on value at risk." @default.
- W2355444744 created "2016-06-24" @default.
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- W2355444744 date "2003-01-01" @default.
- W2355444744 modified "2023-09-23" @default.
- W2355444744 title "Optimal Portfolios of Insurance Fund With Constraints on Value at Risk" @default.
- W2355444744 hasPublicationYear "2003" @default.
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