No Access

Value-at-Risk Efficient Portfolio Selection Using Goal Programming

Hsin-Hung Chen

Department of Business Administration, Cheng Shiu University, No. 840, Chengcing Rd., Niaosong Township, Kaohsiung County 833, Taiwan

Search for more papers by this author

https://doi.org/10.1142/S0219091508001313Cited by:11 (Source: Crossref)

Abstract

The purpose of this study is to apply polynomial goal programming to establish a new portfolio selection model that considers the tradeoffs between expected return and Value-at-Risk (VaR) of portfolios and the flexibility of incorporating investor's preferences. The historical data of 10 international stock markets of Pacific Rim countries were used in the empirical analysis. The results showed that the proposed model demonstrated the ability to resolve the problems of a traditional asset allocation model. The validity and fitness of the proposed model were confirmed.

Keywords:

References

K. Borch, Review of Economic Study 36, 1 (1969). Web of Science, Google Scholar
R. Campbell, R. Huisman and K. Koedijk, Journal of Banking & Finance 25, 1789 (2001). Web of Science, Google Scholar
J. Chipman, Review of Economic Study 40, 167 (1973). Web of Science, Google Scholar
P. Chunhachindaet al., Journal of Banking & Finance 21, 143 (1997). Web of Science, Google Scholar
M. S. Feldstein, Review of Economic Study 36, 5 (1969). Web of Science, Google Scholar
G. Hanoch and H. Levy, Journal of Business 43, 181 (1970). Google Scholar
R. G. Ibbotson, Journal of Financial Economics 2, 235 (1975). Web of Science, Google Scholar
Y. Kroll, H. Levy and H. M. Markowitz, Journal of Finance 39, 47 (1984). Web of Science, Google Scholar
M. L. Leibowitz and R. D. Henriksson, Financial Analysts Journal 45, 34 (1989). Google Scholar
M. L. Leibowitz and S. Kogelman, Journal of Portfolio Management 17, 18 (1991). Web of Science, Google Scholar
M. L. Leibowitz, S. Kogelman and L. N. Bader, Journal of Portfolio Management 18, 28 (1992). Web of Science, Google Scholar
H. Levy, American Economic Review 64, 434 (1974). Web of Science, Google Scholar
H. Levy and H. M. Markowitz, American Economic Review 69, 308 (1979). Google Scholar
A. Lucas and P. Klaassen, Journal of Portfolio Management 25, 71 (1998). Web of Science, Google Scholar
H. M. Markowitz, Journal of Finance 7, 71 (1952). Google Scholar
H. M. Markowitz , Portfolio Selection ( John Wiley & Sons , New York , 1959 ) . Google Scholar
A. J. Prakash, C. H. Chang and T. E. Pactwa, Journal of Banking & Finance 27, 1375 (2003). Web of Science, Google Scholar
M. E. Rubinstein, Journal of Finance and Quantitative Analysis 8, 61 (1973). Web of Science, Google Scholar
P. Samuelson, Review of Economic Studies 37, 537 (1970). Web of Science, Google Scholar
M. Simkowitz and W. Beedles, Journal of Financial and Quantitative Analysis 13, 927 (1978). Web of Science, Google Scholar
H. A. Taha , Operations Research ( Prentice Hall , New Jersey , 1997 ) . Google Scholar
C. Tsiang, American Economic Review 62, 354 (1972). Web of Science, Google Scholar