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Value-at-Risk Based Risk Management: Optimal Policies and Asset Prices
Company: Review of Financial Studies
Year Of Publication: 2001
Month Of Publication: December
Pages: 371-405
Download Count: 1747
View Count: 8763
Comment Num: 0
Language: EN
Source:
Who Can Read: Free
Date: 9-3-2002
Publisher: Administrator
Summary
This article analyzes optimal, dynamic portfolio adn weatlh/consumption policies of utility maximizing investors who must also manage market-risk exposure using Value-at-Risk (VaR).
Author(s)
Basak, Suleyman Sign in to follow this author
Shapiro, Alex Sign in to follow this author
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