Portfolio selection with CVaR constraint.
Chua, Serene Ee Ling.
Soh, Tuck Weng.
Wee, Cheng Sim.
Date of Issue2002
College of Business (Nanyang Business School)
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.
Nanyang Technological University