Showing 1 - 10 of 324
Persistent link: https://www.econbiz.de/10013259929
Pourbabaee, Kwak, and Pirvu (2016) determine the constant-mix strategy that minimizes Capital at Risk (CaR) under a negative correlation constraint with a benchmark. We extend their result to any increasing law invariant objective function without condition on the sign of the correlation. In...
Persistent link: https://www.econbiz.de/10012855501
Persistent link: https://www.econbiz.de/10012549100
Persistent link: https://www.econbiz.de/10012419085
Persistent link: https://www.econbiz.de/10012487474
Persistent link: https://www.econbiz.de/10012121794
Persistent link: https://www.econbiz.de/10012214351
Persistent link: https://www.econbiz.de/10011857977
Persistent link: https://www.econbiz.de/10011871464
Persistent link: https://www.econbiz.de/10011889433