Economic implications of using a mean-VaR model for portfolio selection: A comparison with mean-variance analysis
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- Brennan, M. J., 1971. "Capital Market Equilibrium with Divergent Borrowing and Lending Rates," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 6(05), pages 1197-1205, December.
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- William J. Baumol, 1963. "An Expected Gain-Confidence Limit Criterion for Portfolio Selection," Management Science, INFORMS, vol. 10(1), pages 174-182, October.
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- Black, Fischer, 1972. "Capital Market Equilibrium with Restricted Borrowing," The Journal of Business, University of Chicago Press, vol. 45(3), pages 444-455, July.
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