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Active portfolio management with benchmarking : adding a value-at-risk constraint
Alexander, Gordon J.; Baptista, Alexandre M. - In: Journal of economic dynamics & control 32 (2008) 3, pp. 779-820
Persistent link: https://www.econbiz.de/10003687449
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Economic implications of using a mean-VaR model for portfolio selection : a comparison with mean-variance analysis
Alexander, Gordon J.; Baptista, Alexandre M. - In: Journal of economic dynamics & control 26 (2002) 7/8, pp. 1159-1193
Persistent link: https://www.econbiz.de/10001656074