Maximize the sharpe ratio and minimize a VaR
Year of publication: |
2010
|
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Authors: | Durand, Robert B. ; Jafarpour, Hedieh ; Klüüelberg, Claudia ; Maller, Ross |
Published in: |
The journal of wealth management. - New York, NY : Pageant Media Ltd., ISSN 1534-7524, ZDB-ID 2090078-8. - Vol. 13.2010, 1, p. 91-102
|
Subject: | Theorie | Theory | Portfolio-Management | Portfolio selection | VAR-Modell | VAR model |
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