Title:

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

Authors:

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

Journal:

Journal of Banking and Finance

Year:

2007

Volume:

31

Pages:

3761-3781

JEL codes:

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