scholarly journals Mean-Variance Portfolio Allocation with a Value at Risk Constraint

2001 ◽  
Author(s):  
Enrique Sentana
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Portfolio Allocation ◽  
A Value ◽  
Risk Constraint ◽  
Mean Variance Portfolio ◽  
Mean Variance

scholarly journals Optimal investment with a value-at-risk constraint

2012 ◽  
Vol 8 (3) ◽  
pp. 531-547 ◽  
Author(s):  
Jingzhen Liu ◽  
Lihua Bai ◽  
Ka-Fai Cedric Yiu
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Optimal Investment ◽  
A Value ◽  
Risk Constraint
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