مرکز منطقه ای اطلاع رساني علوم و فناوري - Mean–variance portfolio selection with ‘at-risk’ constraints and discrete distributions

Title of article :

Mean–variance portfolio selection with ‘at-risk’ constraints and discrete distributions

Author/Authors :

Gordon J. Alexander، نويسنده , , Alexandre M. Baptista، نويسنده , , Shu Yan، نويسنده ,

Issue Information :

روزنامه با شماره پیاپی سال 2007

Pages :

From page :

3761

To page :

3781

Keywords :

Value-at-Risk , Conditional value-at-risk , Portfolio selection , Discrete distributions

Journal title :

Journal of Banking and Finance

Serial Year :

2007

Journal title :

Journal of Banking and Finance

Record number :

194151

Link To Document :