Financial Risk Management

Financial Analysts Journal

Volumn 55, Issue 4, 1999, Pages 65-71

  Dowd, Kevin ^a  

^a NONE

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0347243216     PISSN: 0015198X     EISSN: None     Source Type: Journal    
DOI: 10.2469/faj.v55.n4.2286     Document Type: Article

References (11)

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3. Courakis, A.S. 1989. "Does Constant Relative Risk Aversion Imply Asset Demands That Are Linear in Expected Returns?" Oxford Economic Papers, vol. 41, no. 4 (October):553-556.
4. Dembo, R. 1997. "Value-at-Risk and Return." NetExposure: The Electronic Journal of financial Risk, vol. 1, no. 1 (October). Available at www.netexposure.co.uk.
5. Dowd, K. 1998a. Beyond Value at Risk: The New Science of Risk Management. Chichester, U.K., and New York: John Wiley and Sons.
6. _. 199Sb. "VAR by Increments." 'Risk': Special Report on Enterprise-Wide Risk Management (November):31-32.
7. Hodges, S. 1998. "A Generalization of the Sharpe Ratio and Its Application to Valuation Bounds and Risk Measures." University of Warwick Financial options Research Centre Preprint 1998/88 (April).
8. Liang, B. 1999. "On the Performance of Hedge Funds." Financial Analysts Journal, vol. 55, no. 4 (July/August):72-85.
9. Schachter, B. 1998. Value at Risk Resources. Internet resources page available at www.gloriamundi.org.
10. Sharpe, W.F. 1966. "Mutual Fund Performance." Journal of Business, vol. 39, Supplement on Security Prices (January ):119-138.
11. _. 1994. "The Sharpe Ratio." Journal of Portfolio Management, vol. 21, no. 1 (Fall):49-58.