01-069/2 - Optimal Portfolio Allocation under a Probabilistic Risk Constraint and the Incentives for Financial Innovation

• Authors
  Jón Daníelsson, London School of Economics; Bjørn N. Jorgensen, Harvard Business School; Casper G. de Vries, Erasmus University Rotterdam; Xiaogang Yang, Chinese Academy of Sciences
• Publication date
  July 19, 2001

• Keywords
  Portfolio Optimization; Value-at-Risk; NP-hard
• JEL
  G11