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Article
Title:
Active Portfolio Management with Benchmarking: Adding a Value-at-Risk Constraint
Authors:
Gordon Alexander
(
U Minnesota
)
Alexandre M. Baptista
(
George Washington U
)
Journal:
Journal of Economic Dynamics and Control
Year:
2008
Volume:
32
Pages:
779-820
JEL code:
G11 - Portfolio Choice; Investment Decisions
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