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Optimal portfolio selection in a Value-at-Risk framework

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Author Info
Campbell, Rachel
Huisman, Ronald
Koedijk, Kees

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Abstract

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File URL: http://www.sciencedirect.com/science/article/B6VCY-43NWH2S-9/2/5ea1875390c5d21faa5ab7fe378bbe4d
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Publisher Info
Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 25 (2001)
Issue (Month): 9 (September)
Pages: 1789-1804
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Handle: RePEc:eee:jbfina:v:25:y:2001:i:9:p:1789-1804

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  1. Erick Rengifo & Emanuela Trifan, 2008. "How Investors Face Financial Risk Loss Aversion and Wealth Allocation," Fordham Economics Discussion Paper Series dp2008-01, Fordham University, Department of Economics. [Downloadable!]
  2. Marno Verbeek & Jeroen VK Rombouts, 2005. "Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models," Computing in Economics and Finance 2005 40, Society for Computational Economics. [Downloadable!]
    Other versions:
  3. Jeroen Rombouts & E.W. Rengifo, 2004. "Dynamic Optimal Portfolio Selection in a VaR Framework," Cahiers de recherche 04-05, HEC Montréal, Institut d'économie appliquée. [Downloadable!]
    Other versions:
  4. Erick W. Rengifo & Emanuela Trifan, 2007. "Investors Facing Risk II: Loss Aversion and Wealth Allocation When Utility Is Derived From Consumption and Narrowly Framed Financial Investments," Darmstadt Discussion Papers in Economics 181, Institut für Volkswirtschaftslehre (Department of Economics), Technische Universität Darmstadt (Darmstadt University of Technology). [Downloadable!]
  5. Erick W. Rengifo & Emanuela Trifan, 2007. "Investors Facing Risk: Loss Aversion and Wealth Allocation Between Risky and Risk-Free Assets," Darmstadt Discussion Papers in Economics 180, Institut für Volkswirtschaftslehre (Department of Economics), Technische Universität Darmstadt (Darmstadt University of Technology). [Downloadable!]
  6. Huisman, R. & Mahieu, R.J. & Schlichter, F., 2007. "Hedging Exposure to Electricity Price Risk in a Value at Risk Framework," Research Paper ERS-2007-013-F&A Revision, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni. [Downloadable!]
  7. BAUWENS, Luc & BEN OMRANE, Walid & RENGIFO, Erick, 2006. "Intra-daily FX optimal portfolio allocation," CORE Discussion Papers 2006010, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
    Other versions:
  8. Hennessy, David A. & Saak, Alexander E. & Babcock, Bruce A., 2003. "Fair Value Of Whole-Farm And Crop-Specific Revenue Insurance," 2003 Annual meeting, July 27-30, Montreal, Canada 21988, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
  9. Nadima El-Hassan & Paul Kofman, 2003. "Tracking Error and Active Portfolio Management," Research Paper Series 98, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
  10. Enrique Ballestero & David Pla-Santamaria, 2005. "Grading the performance of market indicators with utility benchmarks selected from Footsie: a 2000 case study," Applied Economics, Taylor and Francis Journals, vol. 37(18), pages 2147-2160, October. [Downloadable!] (restricted)
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