Optimal portfolio selection in a Value-at-Risk framework

Journal of Banking and Finance

Volumn 25, Issue 9, 2001, Pages 1789-1804

  Campbell, Rachel ^a   Huisman, Ronald ^a   Koedijk, Kees ^a  

^a ERASMUS UNIVERSITY ROTTERDAM   (Netherlands)

Author keywords

G11; Non normalities; Optimal portfolio selection; Time horizons; Value at Risk estimation

Indexed keywords

EID: 0005779160     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4266(00)00160-6     Document Type: Article

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