Alexander, Gordon J.; Baptista, Alexandre M. - In: Management Science 50 (2004) 9, pp. 1261-1273
In this paper, we analyze the portfolio selection implications arising from imposing a value-at-risk (VaR) constraint on the mean-variance model, and compare them with those arising from the imposition of a conditional value-at-risk (CVaR) constraint. We show that for a given confidence level, a...