On the performance of the minimum VaR portfolio

On the performance of the minimum VaR portfolio

Alexander and Baptista (2002) develop the concept of mean-VaR efficiency for portfolios and demonstrate its very close connection with mean-variance efficiency. In particular, they identify the minimum VaR portfolio as a special type of mean-variance efficient portfolio. Our empirical analysis finds...

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Bibliographic Details
Main Authors: Durand, Robert, Gould, John, Maller, R.
Format: Journal Article
Published: Routledge 2010
Subjects:
value-at-risk
iShares
mean-variance efficiency
portfolio optimization
Fama-French portfolios
Online Access:http://hdl.handle.net/20.500.11937/27430

Internet

http://hdl.handle.net/20.500.11937/27430

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