Economic implications of using a mean-VaR model for portfolio selection: A comparison with mean-variance analysis

By Gordon J. Alexander, Alexandre M. Baptista. 2002

349 citations recorded by the source corpus.

Subfields: Finance, General Decision Sciences, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/bb7ce28c447ba8b9dd518d2b06c5a34ec4450e95

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Citations in the corpus

Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns (2009, background): “Practitioner-oriented objective functions are considered, for example, by Roy (1952); Grossman and Vila (1989); Browne (1999); Basak and Shapiro (2001); Tepla (2001); and Alexander and Baptista (2002) .”
A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model (2004, methodology): “8 Alexander and Baptista (2002a) show that E rmV t ↑ and the mean-VaR efficient frontier converges to the empty set as zt ↓ √ D/C.”
Portfolio Choice Problems (2010, background): “…and Vila (1989)), maximizing expected utility subject to beating a stochastic benchmark (Browne (1999), Tepla (2001)), and maximizing expected utility subject to maintaining a critical value at risk (VaR) (Basak and Shapiro (2001), Cuoco, He, and Issaenko (2001), Alexander and Baptista (2002)).”
Stochastic dominance analysis of Asian hedge funds (2008, methodology): “On the other hand, studies have applied the Value-at-Risk (VaR) and conditionalVaR (CVaR) (see for example, Jorion, 2000; Rockafellar and Uryasev, 2000, 2002; Alexander and Baptista, 2002, 2004) methodology to hedge funds.”
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).”
Master Funds in Portfolio Analysis with General Deviation Measures (2006, background): “13 In order to proceed further with VaR, Alexander and Baptista in [ 4 ] limited themselves to the case where the returns of the risky assets are jointly normally distributed.”
Mean-Variance Portfolio Allocation with a Value at Risk Constraint (2001, neutral): “Therefore, it is not surprising that vast amounts of academic papers and books have been written on both topics, some of which discuss their relationship (see e.g. Alexander and Baptista (2000), Cuoco et al. (2001), Dowd (1999), Gourieroux and Monfort (2001), or section 14.4 of Jorion (1997)).”
Time-Inconsistency of VaR and Time-Consistent Alternatives (2007, neutral): “Situations where AVaR behaves better than traditional risk measures are for example discussed in Alexander and Baptista (2004), Agarwal and Naik (2004), Merino and Nyfeler (2004).”