On the performance of the minimum VaR portfolio

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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

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