Work

Mean-Modified Value-at-Risk Optimization with Hedge Funds

Year: 2002

Type: article

Source: The Journal of Alternative Investments

DOI: 10.3905/jai.2002.319052

Authors: Laurent Favre, José-Antonio Galeano

Language: English

Topic: Risk and Portfolio Optimization

Subfield: Management Science and Operations Research

Field: Decision Sciences

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W2091583718

FWCI: 7.682

Cites: 17

Cited by: 378

Related to: 10