A VaR-Constrained Mean-Variance Model: Implications for Portfolio Selection and the Basle Capital Accord.
Preprint
- 1 January 2001
- preprint
- Published by Elsevier in SSRN Electronic Journal
Abstract
We examine the economic implications arising from using a VaR-constrained mean-variance model for portfolio selection and for the calculation of a bank's minimuKeywords
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