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Mean-variance portfolio selection with `at-risk' constraints and discrete distributions

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Author Info
Alexander, Gordon J.
Baptista, Alexandre M.
Yan, Shu

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Abstract

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File URL: http://www.sciencedirect.com/science/article/B6VCY-4NHV4GW-1/2/bf0ea09dfcac262c7c44bb9fe183feaa
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Publisher Info
Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 31 (2007)
Issue (Month): 12 (December)
Pages: 3761-3781
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Handle: RePEc:eee:jbfina:v:31:y:2007:i:12:p:3761-3781

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  1. Larsen, Ryan & Vedenov, Dmitry & Leatham, David, 2009. "Enterprise-level risk assessment of geographically diversified commercial farms: a copula approach," 2009 Annual Meeting, January 31-February 3, 2009, Atlanta, Georgia 46763, Southern Agricultural Economics Association. [Downloadable!]
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This page was last updated on 2009-12-3.

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