Portfolio Performance Evaluation Using Value at Risk

By Gordon J. Alexander, Alexandre M. Baptista. 2003

74 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/41993fdbfc5e060ff336bc77faa6a37d20f3c474

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. Alexandre M. Baptista
2. Gordon J. Alexander
3. Jian Shen
4. R. D. F. Harris
5. Zhiguang Cao
6. Wing-Keung Wong
7. Hooi Hooi Lean
8. K. Phoon

In Management Science and Operations Research

1. Gordon J. Alexander
2. Alexandre M. Baptista
3. Jian Shen
4. R. D. F. Harris
5. Zhiguang Cao
6. Wing-Keung Wong
7. Hooi Hooi Lean
8. K. Phoon

Citations in the corpus

• A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model (2004, background): “However, σ(2)[rn] ≈ 10 ( 3n(2) + 93n+ 12,623 ) , (1)Alexander and Baptista (2003) similarly examine arbitrary distributions in evaluating portfolio performance using VaR.”
• Hedging and Value at Risk: A Semi-Parametric Approach (2009, background): “Increasingly, VaR and CVaR are also now used in asset allocation (Huisman, Koedijk and Pownall, 1999; Campbell, Huisman and Koedijk, 2001; Alexander and Baptista, 2002, 2004) and portfolio performance measurement (Dowd, 1998; Alexander and Baptista, 2003).”