Optimal portfolio selection in a Value-at-Risk framework

R. Campbell, R. Huisman, C.G. Koedijk

Research output: Contribution to journalArticleProfessional

Original languageEnglish
Pages (from-to)1789-1804
Number of pages16
JournalJournal of Banking and Finance
Volume25
Issue number9
Publication statusPublished - 2001
Externally publishedYes

Cite this

Campbell, R. ; Huisman, R. ; Koedijk, C.G. / Optimal portfolio selection in a Value-at-Risk framework. In: Journal of Banking and Finance. 2001 ; Vol. 25, No. 9. pp. 1789-1804.
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Optimal portfolio selection in a Value-at-Risk framework. / Campbell, R.; Huisman, R.; Koedijk, C.G.

In: Journal of Banking and Finance, Vol. 25, No. 9, 2001, p. 1789-1804.

Research output: Contribution to journalArticleProfessional

TY - JOUR

T1 - Optimal portfolio selection in a Value-at-Risk framework

AU - Campbell, R.

AU - Huisman, R.

AU - Koedijk, C.G.

N1 - Pagination: 16

PY - 2001

Y1 - 2001

M3 - Article

VL - 25

SP - 1789

EP - 1804

JO - Journal of Banking and Finance

JF - Journal of Banking and Finance

SN - 0378-4266

IS - 9

ER -