Mean-variance portfolio allocation with a value at risk constraint

Options on portfolios of options and multivariate option pricing and hedging

Matsumoto, M.

January 2000

SIGLEAvailable from British Library Document Supply Centre-DSC:DXN037816 / BLDSC - British Library D...

Optimal portfolios with constrained sensitivities in the interest rate market

Kirriakopoulos, K.

January 1996

SIGLEAvailable from British Library Document Supply Centre-DSC:DXN013790 / BLDSC - British Library D...

Asset allocation using quasi Monte Carlo methods

Boyle, P.
Imai, J.
Cambridge Univ. (United Kingdom). Judge Inst. of Management Studies

January 2002

SIGLEAvailable from British Library Document Supply Centre-DSC:7755.0364(13/2002) / BLDSC - British ...

Mean variance portfolio allocation with a value at risk constraint

Sentana, E.
Centre for Economic Policy Research, London (United Kingdom)

January 2001

Also available via the InternetSIGLEAvailable from British Library Document Supply Centre-DSC:3597.9...

Mean variance portfolio analysis revisited

Bhattacharyya, D
Leicester Univ. (United Kingdom). Dept. of Economics

January 1991

SIGLEAvailable from British Library Document Supply Centre- DSC:3597.7879(LU-DE-DP--166) / BLDSC - B...

Generalised mean-variance analysis and robust portfolio diversification

Wright, S.M.
Satchell, S.
Cambridge Univ. (United Kingdom). Dept. of Applied Economics

January 2002

SIGLEAvailable from British Library Document Supply Centre-DSC:3509.880(0201) / BLDSC - British Libr...

Mean-Variance Portfolio allocation with a Value at Risk Constraint

Enrique Sentana
Enrique Sentana

In this paper, I first provide a unifying approach to Mean-Variance analysis and Value at Risk, whic...

Portfolio allocation and the investment horizon

Bierman Jr, H.
Cambridge Univ. (United Kingdom). Dept. of Applied Economics

January 1996

SIGLEAvailable from British Library Document Supply Centre-DSC:3015.94405(27) / BLDSC - British Libr...

Income risk, borrowing constraints and portfolio choice

Guiso, L.
Jappelli, T.
Terlizzese, D
Centre for Economic Policy Research, London (United Kingdom)

January 1994

SIGLEAvailable from British Library Document Supply Centre- DSC:3597.9512(CEPR-DP--888) / BLDSC - Br...

Server allocation subject to variance constraints

Ansell, P.S.

January 1999

SIGLEAvailable from British Library Document Supply Centre-DSC:DXN025403 / BLDSC - British Library D...

A risk management approach to optimal asset allocation

Flavin, T.
Wickens, M.
National Univ. of Ireland, Maynooth (Ireland). Economics Dept.

January 1998

SIGLEAvailable from British Library Document Supply Centre-DSC:3656.972(85/12/98) / BLDSC - British ...

Asset price dynamics with value-at-risk constrained traders

Zigrand, J.
Shin, H.S.
Danielsson, J.
London School of Economics (United Kingdom). Financial Markets Group

January 2001

Available from British Library Document Supply Centre-DSC:5300.405(no 394) / BLDSC - British Library...

Portfolio insurance and volatility

Frey, R.
Stremme, A
London School of Economics (United Kingdom). Financial Markets Group

January 1994

SIGLEAvailable from British Library Document Supply Centre- DSC:5300.405(LSE-FMG-DP--188) / BLDSC - ...

Selecting from amongst non-nested conditional variance models Information criteria and portfolio determination

Brooks, C.
Burke, S.
Reading Univ. (United Kingdom). Centre for Quantitative Economics and Computing

January 1999

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.9498(56) / BLDSC - British Libra...

Allowing for insurance companies' liabilities in mean-variance models

Berketi, A.

January 1998

SIGLEAvailable from British Library Document Supply Centre-DSC:DXN027799 / BLDSC - British Library D...

Options on portfolios of options and multivariate option pricing and hedging

Matsumoto, M.

January 2000

SIGLEAvailable from British Library Document Supply Centre-DSC:DXN037816 / BLDSC - British Library D...

Optimal portfolios with constrained sensitivities in the interest rate market

Kirriakopoulos, K.

January 1996

SIGLEAvailable from British Library Document Supply Centre-DSC:DXN013790 / BLDSC - British Library D...

Asset allocation using quasi Monte Carlo methods

Boyle, P.
Imai, J.
Cambridge Univ. (United Kingdom). Judge Inst. of Management Studies

January 2002

SIGLEAvailable from British Library Document Supply Centre-DSC:7755.0364(13/2002) / BLDSC - British ...

Mean variance portfolio allocation with a value at risk constraint

Sentana, E.
Centre for Economic Policy Research, London (United Kingdom)

January 2001

Also available via the InternetSIGLEAvailable from British Library Document Supply Centre-DSC:3597.9...

Mean variance portfolio analysis revisited

Bhattacharyya, D
Leicester Univ. (United Kingdom). Dept. of Economics

January 1991

SIGLEAvailable from British Library Document Supply Centre- DSC:3597.7879(LU-DE-DP--166) / BLDSC - B...

Generalised mean-variance analysis and robust portfolio diversification

Wright, S.M.
Satchell, S.
Cambridge Univ. (United Kingdom). Dept. of Applied Economics

January 2002

SIGLEAvailable from British Library Document Supply Centre-DSC:3509.880(0201) / BLDSC - British Libr...

Mean-Variance Portfolio allocation with a Value at Risk Constraint

Enrique Sentana
Enrique Sentana

In this paper, I first provide a unifying approach to Mean-Variance analysis and Value at Risk, whic...

Portfolio allocation and the investment horizon

Bierman Jr, H.
Cambridge Univ. (United Kingdom). Dept. of Applied Economics

January 1996

SIGLEAvailable from British Library Document Supply Centre-DSC:3015.94405(27) / BLDSC - British Libr...

Income risk, borrowing constraints and portfolio choice

Guiso, L.
Jappelli, T.
Terlizzese, D
Centre for Economic Policy Research, London (United Kingdom)

January 1994

SIGLEAvailable from British Library Document Supply Centre- DSC:3597.9512(CEPR-DP--888) / BLDSC - Br...

Server allocation subject to variance constraints

Ansell, P.S.

January 1999

SIGLEAvailable from British Library Document Supply Centre-DSC:DXN025403 / BLDSC - British Library D...

A risk management approach to optimal asset allocation

Flavin, T.
Wickens, M.
National Univ. of Ireland, Maynooth (Ireland). Economics Dept.

January 1998

SIGLEAvailable from British Library Document Supply Centre-DSC:3656.972(85/12/98) / BLDSC - British ...

Asset price dynamics with value-at-risk constrained traders

Zigrand, J.
Shin, H.S.
Danielsson, J.
London School of Economics (United Kingdom). Financial Markets Group

January 2001

Available from British Library Document Supply Centre-DSC:5300.405(no 394) / BLDSC - British Library...

Portfolio insurance and volatility

Frey, R.
Stremme, A
London School of Economics (United Kingdom). Financial Markets Group

January 1994

SIGLEAvailable from British Library Document Supply Centre- DSC:5300.405(LSE-FMG-DP--188) / BLDSC - ...

Selecting from amongst non-nested conditional variance models Information criteria and portfolio determination

Brooks, C.
Burke, S.
Reading Univ. (United Kingdom). Centre for Quantitative Economics and Computing

January 1999

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.9498(56) / BLDSC - British Libra...

Allowing for insurance companies' liabilities in mean-variance models

Berketi, A.

January 1998

SIGLEAvailable from British Library Document Supply Centre-DSC:DXN027799 / BLDSC - British Library D...

Options on portfolios of options and multivariate option pricing and hedging

Matsumoto, M.

January 2000

SIGLEAvailable from British Library Document Supply Centre-DSC:DXN037816 / BLDSC - British Library D...

Optimal portfolios with constrained sensitivities in the interest rate market

Kirriakopoulos, K.

January 1996

SIGLEAvailable from British Library Document Supply Centre-DSC:DXN013790 / BLDSC - British Library D...

Asset allocation using quasi Monte Carlo methods

Boyle, P.
Imai, J.
Cambridge Univ. (United Kingdom). Judge Inst. of Management Studies

January 2002

SIGLEAvailable from British Library Document Supply Centre-DSC:7755.0364(13/2002) / BLDSC - British ...

Mean-variance portfolio allocation with a value at risk constraint

Abstract

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Mean-variance portfolio allocation with a value at risk constraint

Abstract

Extracted data

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