Título:

Economic Implications of Using a Mean-VaR Model for Portfolio Selection: A Comparison with Mean-Variance Analysis

Autores:

Gordon Alexander (U Minnesota)
Alexandre M. Baptista (U Arizona)

Revista:

Journal of Economic Dynamics and Control

Ano:

2002

Volume:

26

Páginas:

1159-1193

Código JEL:

G11 - Portfolio Choice; Investment Decisions