Alexander, Gordon J.; Baptista, Alexandre M.; Yan, Shu - In: Managerial and Decision Economics 30 (2009) 5, pp. 281-305
The issue of estimation risk is of particular interest to the decision-making processes of portfolio managers who use long-short investment strategies. Accordingly, our paper explores the question of whether a VaR constraint reduces estimation risk when short sales are allowed. We find that such...