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Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation

  • Jón Daníelsson

    ()

  • Bjørn Jorgensen

    ()

  • Casper Vries

    ()

  • Xiaoguang Yang

    ()

No abstract is available for this item.

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File URL: http://hdl.handle.net/10.1007/s10436-007-0081-3
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Article provided by Springer in its journal Annals of Finance.

Volume (Year): 4 (2008)
Issue (Month): 3 (July)
Pages: 345-367

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Handle: RePEc:kap:annfin:v:4:y:2008:i:3:p:345-367
Contact details of provider: Web page: http://www.springerlink.com/link.asp?id=112370

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  1. Suleyman Basak & Alex Shapiro, . "Value-at-Risk Based Risk Management: Optimal Policies and Asset Prices," Rodney L. White Center for Financial Research Working Papers 06-99, Wharton School Rodney L. White Center for Financial Research.
  2. Ross, Stephen A, 1976. "Options and Efficiency," The Quarterly Journal of Economics, MIT Press, vol. 90(1), pages 75-89, February.
  3. Franklin Allen & Douglas Gale, . "Optimal Security Design," Rodney L. White Center for Financial Research Working Papers 26-87, Wharton School Rodney L. White Center for Financial Research.
  4. Rohit Rahi & José M. Marín, 1999. "Speculative securities," Economic Theory, Springer, vol. 14(3), pages 653-668.
  5. Hayne E. Leland., 1979. "Who Should Buy Portfolio Insurance?," Research Program in Finance Working Papers 95, University of California at Berkeley.
  6. Miller, Merton H., 1986. "Financial Innovation: The Last Twenty Years and the Next," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 21(04), pages 459-471, December.
  7. Arzac, Enrique R. & Bawa, Vijay S., 1977. "Portfolio choice and equilibrium in capital markets with safety-first investors," Journal of Financial Economics, Elsevier, vol. 4(3), pages 277-288, May.
  8. Mark Grinblatt & Francis A. Longstaff, 2000. "Financial Innovation and the Role of Derivative Securities: An Empirical Analysis of the Treasury STRIPS Program," Journal of Finance, American Finance Association, vol. 55(3), pages 1415-1436, 06.
  9. Schilbred, Cornelius M, 1973. "The Market Price of Risk," Review of Economic Studies, Wiley Blackwell, vol. 40(2), pages 283-92, April.
  10. Green, Richard C. & Rydqvist, Kristian, 1999. "Ex-day behavior with dividend preference and limitations to short-term arbitrage: the case of Swedish lottery bonds," Journal of Financial Economics, Elsevier, vol. 53(2), pages 145-187, August.
  11. Grossman, Sanford J & Vila, Jean-Luc, 1989. "Portfolio Insurance in Complete Markets: A Note," The Journal of Business, University of Chicago Press, vol. 62(4), pages 473-76, October.
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