The Portfolio Decision under the VAR Restriction

Jinwen Wu

Abstract


The , a new appearing financial risk-manage tool, have been applied widely. Many financial setups have accustomed to measure the risk of a portfolio with the . So it is very necessary to discuss the portfolio choice problem under the   constraint. In this paper, by setting and solving the portfolio choice model under the   constraint, we illustrate that the use of the   constraint reduces the array of choice to a more manageable range. The probability of target , therefore, can be thought of as a risk tolerance assessment tool (when coupled with another measure of risk).

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Asian Social Science   ISSN 1911-2017 (Print)   ISSN 1911-2025 (Online)

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