Portfolio selection with limited downside risk

Journal of Empirical Finance

Volumn 7, Issue 3-4, 2000, Pages 247-269

  Jansen, Dennis W ^a   Koedijk, Kees G ^b   De Vries, Casper G ^c  

^a TEXAS A AND M UNIVERSITY   (United States)

^b MAASTRICHT UNIVERSITY   (Netherlands)

^c TINBERGEN INSTITUTE   (Netherlands)

Author keywords

Extreme value theory; G0; G1; Value at Risk

Indexed keywords

EID: 0038415015     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0927-5398(00)00016-5     Document Type: Article

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