On the performance of the minimum VAR portfolio
Robert B. Durand, John Gould and Ross Maller
| Year of publication: |
2011
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|---|---|
| Authors: | Durand, Robert B. ; Gould, John ; Maller, Ross A. |
| Published in: |
The European journal of finance. - Abingdon, Oxon : Routledge, Taylor & Francis Group, ISSN 1351-847X, ZDB-ID 1282412-4. - Vol. 17.2011, 7/8, p. 553-576
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| Subject: | portfolio optimization | mean-variance efficiency | value-at-risk | Fama-French portfolios | iShares | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Theorie | Theory | Kapitaleinkommen | Capital income | CAPM | Mathematische Optimierung | Mathematical programming |
| 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://ebvufind01.dmz1.zbw.eu/10009509846