Mean-variance portfolio selection with 'at-risk' constraints and discrete distributions

Journal of Banking and Finance

Volumn 31, Issue 12, 2007, Pages 3761-3781

  Alexander, Gordon J ^a   Baptista, Alexandre M ^b   Yan, Shu ^c  

^a UNIVERSITY OF MINNESOTA   (United States)

^b GEORGE WASHINGTON UNIVERSITY   (United States)

^c UNIVERSITY OF SOUTH CAROLINA   (United States)

Author keywords

Conditional value at risk; Discrete distributions; Portfolio selection; Value at risk

Indexed keywords

EID: 36048938488     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2007.01.019     Document Type: Article

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