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- W2387584103 abstract "The writers of this paper make use of ValueatRisk(VaR) to measure the risk of portfolios and develop an optimal portfolio model by minimizing the VaR subject to the minimal acceptable limits that the final wealth should meet.We find that the optimal portfolio model based on VaR generates two-fund separation,so the asset returns can be replaced with two mutual funds,that is,a risky asset and a risk-free asset.Finally we use the simplified single-risk model to conduct an empirical analysis into Shanghai stock market to investigate the ways investors make their optimal portfolio choices between the stock and the bank funds." @default.
- W2387584103 created "2016-06-24" @default.
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- W2387584103 date "2005-01-01" @default.
- W2387584103 modified "2023-09-25" @default.
- W2387584103 title "Optimal Portfolio Model Based on VaR and Two-Fund Separation" @default.
- W2387584103 hasPublicationYear "2005" @default.
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