From Markowitz to modern risk management
Author:
Publisher
Informa UK Limited
Subject
Economics, Econometrics and Finance (miscellaneous)
Link
http://www.tandfonline.com/doi/pdf/10.1080/13518470902853566
Reference13 articles.
1. Economic implications of using a mean-VaR model for portfolio selection: A comparison with mean-variance analysis
2. A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model
3. Does the Basle Capital Accord reduce bank fragility? An assessment of the value-at-risk approach
4. Alexander, G. J., Baptista, A. M. and Yan, S. 2008. “Bank risk management with value-at-risk and stress testing: An alternative to conditional value-at-risk?”. MN: Carlson School of Management, University of Minnesota. Working Paper
5. Coherent Measures of Risk
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