search query: @author Campbell, R. / total: 3
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| Author: | Campbell, R. Huisman, R. Koedijk, K. |
| Title: | Optimal portfolio selection in a Value-at-Risk framework |
| Journal: | Journal of Banking and Finance
2001 : SEP, VOL. 25:9, p. 1789-1804 |
| Index terms: | PORTFOLIO SELECTION RISK MANAGEMENT VALUE-AT-RISK |
| Language: | eng |
| Abstract: | In this paper, the authors develop a portfolio selection model which allocates financial assets by maximising expected return subjects to the constraint that the expected maximum loss should meet the Value-at-Risk limits set by the risk manager. Similar to the mean-variance approach a performance index like the Sharpe index is constructed. |
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