Portfolio Performance Evaluation Using Value at Risk
- 31 July 2003
- journal article
- Published by With Intelligence LLC in The Journal of Portfolio Management
- Vol. 29 (4) , 93-102
- https://doi.org/10.3905/jpm.2003.319898
Abstract
No abstract availableThis publication has 15 references indexed in Scilit:
- Economic implications of using a mean-VaR model for portfolio selection: A comparison with mean-variance analysisJournal of Economic Dynamics and Control, 2002
- Value at Risk for Portfolios with Short PositionsThe Journal of Portfolio Management, 2002
- Value-at-Risk-Based Risk Management: Optimal Policies and Asset PricesThe Review of Financial Studies, 2001
- Value at RiskCFA Magazine, 2000
- A Value at Risk Approach to Risk-Return AnalysisThe Journal of Portfolio Management, 1999
- Value at Risk When Daily Changes in Market Variables are not Normally DistributedThe Journal of Derivatives, 1998
- An Overview of Value at RiskThe Journal of Derivatives, 1997
- Bank Capital and Value at RiskThe Journal of Derivatives, 1997
- Risk2: Measuring the Risk in Value at RiskCFA Magazine, 1996
- A Comparison of the Stable and Student Distributions as Statistical Models for Stock PricesThe Journal of Business, 1974