Article ID: | iaor20084520 |
Country: | Netherlands |
Volume: | 176 |
Issue: | 1 |
Start Page Number: | 423 |
End Page Number: | 434 |
Publication Date: | Jan 2007 |
Journal: | European Journal of Operational Research |
Authors: | Benati Stefano, Rizzi Romeo |
Keywords: | programming: integer |
In this paper, we consider an extension of the Markovitz model, in which the variance has been replaced with the Value-at-Risk. So a new portfolio optimization problem is formulated. We showed that the model leads to an NP-hard problem, but if the number of past observation