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• (author = "Sentana, Enrique ")
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Mean-variance portfolio allocation with a value at risk constraint

Author(s) : Sentana, Enrique
Description : In this paper, I first provide a unifying approach to Mean-Variance analysis and Value at Risk, which highlights both their similarities and differences. Then I use it to explain how fund managers can take investment decisions within the well-known Mean-Variance allocation framework that satisfy the...
Repository : LSE Research Online , View repository documents
Language(s) : Undetermined
Subject(s) : HG Finance , HB Economic Theory
Publisher(s) : Financial Markets Group, London School of Economics and Political Science
Contributor(s) :
Source(s) :
Publication Date(s) : 2001-05-01