Value-at-Risk in Portfolio Optimization: Properties and Computational Approach

The Value-at-Risk (V@R) is an important and widely used measure of the extent to which a given portfolio is subject to risk inherent in financial markets. In this paper, we present a method of calculating the portfolio which gives the smallest V@R among those, which yield at least some specified expected return. Using this approach, the complete mean-V@R efficient frontier may be calculated. The method is based on approximating the histori