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On the performance of the minimum VaR portfolio

Durand, Robert; Gould, John; Maller, Ross


Alexander and Baptista [2002. Economic implications of using a mean-value-at-risk (VaR) model for portfolio selection: A comparison with mean-variance analysis. Journal of Economic Dynamics and Control 26: 1159-93] develop the concept of mean-VaR efficiency for portfolios and demonstrate its very close connection with mean-variance efficiency. In particular, they identify the minimum VaR portfolio as a special type of mean-variance efficient portfolio. Our empirical analysis finds that, for...[Show more]

CollectionsANU Research Publications
Date published: 2011
Type: Journal article
Source: European Journal of Finance, The
DOI: 10.1080/1351847X.2010.495484


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