Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation
| Year of publication: |
2008
|
|---|---|
| Authors: | Daníelsson, Jón ; Jorgensen, Bjørn ; Vries, Casper ; Yang, Xiaoguang |
| Published in: |
Annals of Finance. - Springer. - Vol. 4.2008, 3, p. 345-367
|
| Publisher: |
Springer |
| Subject: | Portfolio optimization | Value-at-risk | Computational complexity | State–price density |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10005673946