Mean-Modified Value-at-Risk Optimization with Hedge Funds

By L. Favre, José-Antonio Galeano. 2002

399 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/2e7c50cb30ed0a48ca30841ffb0afbabb25ef574

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Kris Boudt
2. Joe Zhu
3. Robert T. Daigler
4. Christophe Croux
5. Brian G. Peterson
6. L. Pham

In Management Science and Operations Research

1. Kris Boudt
2. Joe Zhu
3. Christophe Croux
4. Brian G. Peterson
5. Chiang Kao
6. L. Pham
7. Wade D. Cook
8. Madjid Tavana

Citations in the corpus

• Estimation and Decomposition of Downside Risk for Portfolios with Non-Normal Returns (2008, methodology): “More specifically, we consider the skewed Student t density function proposed by Fernández and Steel (1998) and standardized by Lambert and Laurent (2001) such that it has mean zero and unit variance. The standardized skewed Student t density function has been used by Giot and Laurent (2003), among ”
• Data Envelopment Analysis (2007, methodology): “Therefore,we use the modified Sharpe ratio (see Favre and Galeano [2002]).”
• Is international diversification really beneficial (2010, background): “Favre and Galeano (2002) develop such a four-moment VaR:”
• Portfolio Performance Evaluation with Generalized Sharpe Ratios: Beyond the Mean and Variance (2009, neutral): “The examples of the use of the risk measures on the basis of valueat-risk (VaR) include: Dowd (2000) (standard VaR), Favre and Galeano (2002) (modified for skewness and kurtosis VaR), and Rachev et al. (2007) (conditional VaR).”