Economic implications of using a mean-VaR model for portfolio selection: a comparison with mean-variance analysis.

DOI10.1016/S0165-1889(01)00041-0zbMath1131.91325OpenAlexW1969429114MaRDI QIDQ1605418

Alexandre M. Baptista, Gordon J. Alexander

Publication date: 15 July 2002

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1889(01)00041-0

Mathematics Subject Classification ID

Related Items (49)

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