VaR limits for pension funds: an evaluation

DOI10.1080/14697688.2010.491517zbMATH Open1279.91142OpenAlexW2130981775MaRDI QIDQ2873552FDOQ2873552

Rómulo A. Chumacero, Solange Berstein

Publication date: 24 January 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://mpra.ub.uni-muenchen.de/22574/1/MPRA_paper_22574.pdf

zbMATH Keywords

analysis of VaR-based regulationVaR portfolio strategies

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• Term structure of risk under alternative econometric specifications
• Economic implications of using a mean-VaR model for portfolio selection: a comparison with mean-variance analysis.

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