Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation
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Bibliographic InfoArticle provided by Springer in its journal Annals of Finance.
Volume (Year): 4 (2008)
Issue (Month): 3 (July)
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Web page: http://www.springerlink.com/link.asp?id=112370
Portfolio optimization; Value-at-risk; Computational complexity; State–price density; G11;
Find related papers by JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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