Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices-Reference-Cited by-同舟云学术

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Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices

Published:2001-04 Issue:2 Volume:14 Page:371-405
ISSN:0893-9454
Container-title:Review of Financial Studies
language:en
Short-container-title:Rev. Financ. Stud.

Author:

Basak Suleyman,Shapiro Alexander

Publisher

Oxford University Press (OUP)

Subject

Economics and Econometrics,Finance,Accounting

Link

http://academic.oup.com/rfs/article-pdf/14/2/371/5244638/140371.pdf

Reference38 articles.

1. Optimal Risk Management Using Options

2. Alexander G. Baptista A. , 1999, “Value at Risk and Mean-Variance Analysis,” working paper, University of Minnesota.

3. Coherent Measures of Risk

4. A General Equilibrium Model of Portfolio Insurance

5. Basak S. , 1999, “A Comparative Study of Portfolio Insurance,” working paper, Wharton School, University of Pennsylvania.

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