Maximize the sharpe ratio and minimize a VaR
Robert B. Durand, Hedieh Jafarpour, Claudia Klüüelberg, and Ross Maller
| Year of publication: |
2010
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|---|---|
| Authors: | Durand, Robert B. ; Jafarpour, Hedieh ; Klüüelberg, Claudia ; Maller, Ross |
| Published in: |
The journal of wealth management. - New York, NY : Pageant Media Ltd., ISSN 1534-7524, ZDB-ID 2090078-8. - Vol. 13.2010, 1, p. 91-102
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| Subject: | Portfolio-Management | Portfolio selection | Theorie | Theory | Risikomaß | Risk measure | VAR-Modell | VAR model |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003981782