Título:

Mean-Variance Portfolio Selection with ´At-Risk` Constraints and Discrete Distributions

Autores:

Gordon Alexander (U Minnesota)
Alexandre M. Baptista (George Washington U)
Shu Yan (U South Carolina)

Revista:

Journal of Banking and Finance

Ano:

2007

Volume:

31

Páginas:

3761-3781

Códigos JEL:

D81 - Criteria for Decision-Making under Risk and Uncertainty
G11 - Portfolio Choice; Investment Decisions