ECONOMIC IMPLICATIONS OF USING A MEAN-VAR MODEL FOR PORTFOLIO SELECTION: A COMPARISON WITH MEAN-VARIANCE ANALYSIS

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ALEXANDER G.J.; BAPTISTAB A.M.

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Paper Information

Journal: JOURNAL OF ECONOMIC DYNAMICS AND CONTROL Year:2002 | Volume:26 | Issue:7-8 Page(s): 1159-1193

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Information Journal Paper

Title

ECONOMIC IMPLICATIONS OF USING A MEAN-VAR MODEL FOR PORTFOLIO SELECTION: A COMPARISON WITH MEAN-VARIANCE ANALYSIS

Author(s)

ALEXANDER G.J. | BAPTISTAB A.M. | Issue Writer Certificate

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Abstract

Cites

COMPARISON OF GARCH MODEL AND MONTE CARLO SIMULATION FOR ESTIMATING THE VALUE AT RISK OF FOREIGN EXCHANGE PORTFOLIO
ACTIVE PORTFOLIO MANAGEMENT WITH BENCH MARKING: ADDING A VALUE-AT-RISK CONSTRAINT

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APA: Copy

ALEXANDER, G.J., & BAPTISTAB, A.M.. (2002). ECONOMIC IMPLICATIONS OF USING A MEAN-VAR MODEL FOR PORTFOLIO SELECTION: A COMPARISON WITH MEAN-VARIANCE ANALYSIS. JOURNAL OF ECONOMIC DYNAMICS AND CONTROL, 26(7-8), 1159-1193. SID. https://sid.ir/paper/599914/en

Vancouver: Copy

ALEXANDER G.J., BAPTISTAB A.M.. ECONOMIC IMPLICATIONS OF USING A MEAN-VAR MODEL FOR PORTFOLIO SELECTION: A COMPARISON WITH MEAN-VARIANCE ANALYSIS. JOURNAL OF ECONOMIC DYNAMICS AND CONTROL[Internet]. 2002;26(7-8):1159-1193. Available from: https://sid.ir/paper/599914/en

IEEE: Copy

G.J. ALEXANDER, and A.M. BAPTISTAB, “ECONOMIC IMPLICATIONS OF USING A MEAN-VAR MODEL FOR PORTFOLIO SELECTION: A COMPARISON WITH MEAN-VARIANCE ANALYSIS,” JOURNAL OF ECONOMIC DYNAMICS AND CONTROL, vol. 26, no. 7-8, pp. 1159–1193, 2002, [Online]. Available: https://sid.ir/paper/599914/en

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