ASSETS PORTFOLIO VALUE-AT-RISK MINIMIZATION AS A GENERALIZATION OF THE CLASSICAL PORTFOLIO THEORY

Abstract

The paper investigates the equivalence problem of the classic Markowitz method and the method of portfolio Valueat-Risk minimization of portfolio construction. It is shown that the set of efficient by Markowitz portfolios is wider than the set of efficient portfolios derived from the problem of portfolio VaR minimization. It is proved that there are efficient by Markowitz portfolios that are not efficient in terms of VaR minimization, and that all efficient in terms of VaR minimization portfolios are also efficient by Markowitz. I.e. the considered methods of assets portfolio construction are not equivalent.