Mean Variance Portfolio Allocation with a Value at Risk Constraint
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- Sentana, Enrique, 2001. "Mean-variance portfolio allocation with a value at risk constraint," LSE Research Online Documents on Economics 25058, London School of Economics and Political Science, LSE Library.
- Enrique Sentana & Enrique Sentana, 2001. "Mean-Variance Portfolio allocation with a Value at Risk Constraint," FMG Discussion Papers dp380, Financial Markets Group.
- Sentana, E., 2001. "Mean-Variance Portfolio Allocation with a Value at Risk Constraint," Papers 0105, Centro de Estudios Monetarios Y Financieros-.
- Enrique Sentana, 2001. "Mean-Variance Portfolio Allocation with a Value at Risk Constraint," Working Papers wp2001_0105, CEMFI.
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Cited by:
- Gordon J. Alexander & Alexandre M. Baptista, 2004. "A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model," Management Science, INFORMS, vol. 50(9), pages 1261-1273, September.
- Jordi Andreu & Salvador Torra, 2009. "Optimal market indices using value-at-risk: a first empirical approach for three stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 19(14), pages 1163-1170.
- Josep Pijoan-Mas, 2006.
"Precautionary Savings or Working Longer Hours?,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 9(2), pages 326-352, April.
- Josep Pijoan-Mas, 2003. "Precautionary Savings or Working Longer Hours?," Working Papers wp2003_0311, CEMFI.
- Pijoan-Mas, Josep, 2005. "Precautionary Savings or Working Longer Hours?," CEPR Discussion Papers 5322, C.E.P.R. Discussion Papers.
- Josep Pijoan-Mas, 2004. "Precautionary Savings or Working Longer Hours?," 2004 Meeting Papers 350, Society for Economic Dynamics.
- Francesco Paolo Natale, 2008. "Optimisation in the presence of tail-dependence and tail risk: A heuristic approach for strategic asset allocation," Journal of Asset Management, Palgrave Macmillan, vol. 8(6), pages 374-400, February.
- Cuoco, Domenico & Liu, Hong, 2006. "An analysis of VaR-based capital requirements," Journal of Financial Intermediation, Elsevier, vol. 15(3), pages 362-394, July.
- Kaplanski, Guy, 2005. "Analytical Portfolio Value-at-Risk," MPRA Paper 80216, University Library of Munich, Germany.
- Grau-Carles, Pilar & Sainz, Jorge & Otamendi, Javier & Doncel, Luis Miguel, 2009. "Different risk-adjusted fund performance measures: a comparison," Economics Discussion Papers 2009-54, Kiel Institute for the World Economy (IfW Kiel).
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Keywords
Risk management; Portfolio frontier; Market risk capital;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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