Mean-Variance Portfolio Allocation with a Value at Risk Constraint

By Enrique Sentana. 2001

49 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/f0b2a8e612f94ecd52cdd8538d1069939cf1f5a0

Citations in the corpus

• Model Averaging in Risk Management with an Application to Futures Markets (2009, unknown): “See Stock and Watson (1999) for an application to macroeconomic time series and Aiolfi, Favero, and Primiceri (2001) for an application of ‘thick’ modelling to point forecasts of excess returns across different models.”
• An Analysis of VaR-based Capital Requirements (2006, unknown): “Sentana (2001), Emmer et al. (2001), Vorst (2001), Basak and Shapiro (2001) and Cuoco et al. (2002) considered the investment problem of a trader subject to an exogenous limit on the VaR of the trading portfolio.”