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| Content Provider | IEEE Xplore Digital Library |
|---|---|
| Author | Lili Ma Xusong Xu |
| Copyright Year | 2008 |
| Description | Author affiliation: Sch. of Econ. & Manage., Wuhan Univ., Wuhan (Lili Ma; Xusong Xu) |
| Abstract | This paper uses value-at-risk to measure the risk of portfolios and develop an optimal portfolio model by minimizing the VaR subject to the constraint that the final wealth should meet the minimal acceptable limits. And we find that the optimal portfolio model based on VaR generates two-fund separation, so the portfolio can be replaced with two mutual funds, a risky asset and a risk-free asset. Finally we use the simplified model that only exists two assets to have empirical studies on how investors make his optimal portfolio choice between the two mutual funds in Shanghai stock market. The results show that as the acceptable return rises, the investor saves less, and the amount of wealth invested in stocks increases. |
| Starting Page | 1 |
| Ending Page | 4 |
| File Size | 107377 |
| Page Count | 4 |
| File Format | |
| ISBN | 9781424421077 |
| DOI | 10.1109/WiCom.2008.2320 |
| Language | English |
| Publisher | Institute of Electrical and Electronics Engineers, Inc. (IEEE) |
| Publisher Date | 2008-10-12 |
| Publisher Place | China |
| Access Restriction | Subscribed |
| Rights Holder | Institute of Electrical and Electronics Engineers, Inc. (IEEE) |
| Subject Keyword | Reactive power Profitability Forward contracts Mutual funds Financial management Economic forecasting Risk management Security Stock markets Portfolios |
| Content Type | Text |
| Resource Type | Article |
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