Dynamic optimal portfolio selection in a VaR framework

Erick W. Rengifo and Jeroen V. K. Rombouts

Year of publication:	2004
Authors:	Rengifo, Erick W. ; Rombouts, Jeroen V. K.
Publisher:	Louvain-la-Neuve : CORE
Subject:	Portfolio-Management \| Portfolio selection \| ARCH-Modell \| ARCH model \| Theorie \| Theory \| Risikomaß \| Risk measure \| Maximum-Likelihood-Schätzung \| Maximum likelihood estimation

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