On the performance of the minimum VaR portfolio
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DOI: 10.1080/1351847X.2010.495484
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Cited by:
- Huang, Xiaoxia & Zhao, Tianyi, 2014. "Mean-chance model for portfolio selection based on uncertain measure," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 243-250.
- Platanakis, Emmanouil & Sutcliffe, Charles & Ye, Xiaoxia, 2021. "Horses for courses: Mean-variance for asset allocation and 1/N for stock selection," European Journal of Operational Research, Elsevier, vol. 288(1), pages 302-317.
- Taras Bodnar & Yarema Okhrin & Valdemar Vitlinskyy & Taras Zabolotskyy, 2018. "Determination and estimation of risk aversion coefficients," Computational Management Science, Springer, vol. 15(2), pages 297-317, June.
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Keywords
portfolio optimization; mean-variance efficiency; value-at-risk; Fama-French portfolios; iShares;All these keywords.
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