Active portfolio management with benchmarking : adding a value-at-risk constraint
Year of publication: |
2008
|
---|---|
Authors: | Alexander, Gordon J. ; Baptista, Alexandre M. |
Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 32.2008, 3, p. 779-820
|
Subject: | Benchmarking | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Risikomanagement | Risk management | Theorie | Theory |
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