Asset Management with TEV and VaR;Constraints: the Constrained Efficient;Frontiers
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References listed on IDEAS
- Alexander, Gordon J. & Baptista, Alexandre M., 2008. "Active portfolio management with benchmarking: Adding a value-at-risk constraint," Journal of Economic Dynamics and Control, Elsevier, vol. 32(3), pages 779-820, March.
- Alexander, Gordon J. & Baptista, Alexandre M., 2010. "Active portfolio management with benchmarking: A frontier based on alpha," Journal of Banking & Finance, Elsevier, vol. 34(9), pages 2185-2197, September.
- Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
- Palomba, Giulio & Riccetti, Luca, 2012.
"Portfolio frontiers with restrictions to tracking error volatility and value at risk,"
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Elsevier, vol. 36(9), pages 2604-2615.
- Giulio PALOMBA & Luca RICCETTI, 2011. "Portfolio Frontiers with Restrictions to Tracking Error Volatility and Value at Risk," Working Papers 358, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
- Gordon Alexander, 2009. "From Markowitz to modern risk management," The European Journal of Finance, Taylor & Francis Journals, vol. 15(5-6), pages 451-461.
More about this item
Keywordsasset allocation; efficient portfolio frontiers; tracking error volatility; value at risk;
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-10-18 (All new papers)
- NEP-CSE-2013-10-18 (Economics of Strategic Management)
- NEP-RMG-2013-10-18 (Risk Management)
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