Optimal mean-variance investment strategy under value-at-risk constraints
Portfolio optimization in equities, studied by Ye and Li in 2010 with a mathematical derivation. The abstract does not mention a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“For simplicity, we assume that there is only one investment opportunity available for the investor, a risky stock.”
AssetEquities
StrategyPortfolio optimization
TechniqueMathematical derivation
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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