Chen, ZhengXiong; Yuce, Ayse - In: Accounting & Taxation 3 (2011) 1, pp. 15-32
Value at Risk (VaR) is defined as the worst expected loss under normal market conditions over a specific time interval at a given confidence level. Given the widespread usage of VaR, it becomes increasingly important to study the effects of the portfolio optimization subject to the VaR...