Maximize the sharpe ratio and minimize a VaR

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4 Scopus citations

Original language	English
Pages (from-to)	91-102
Number of pages	12
Journal	Journal of Wealth Management
Volume	13
Issue number	1
DOIs	https://doi.org/10.3905/JWM.2010.13.1.091
State	Published - 2010

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@article{54f00514271048878b96c496fe004a90,

title = "Maximize the sharpe ratio and minimize a VaR",

author = "Durand, \{Robert B.\} and Hedieh Jafarpour and Claudia Kl{\"u}ppelberg and Ross Maller",

year = "2010",

doi = "10.3905/JWM.2010.13.1.091",

language = "English",

volume = "13",

pages = "91--102",

journal = "Journal of Wealth Management",

issn = "1534-7524",

publisher = "Portfolio Management Research",

number = "1",

}

TY - JOUR

T1 - Maximize the sharpe ratio and minimize a VaR

AU - Durand, Robert B.

AU - Jafarpour, Hedieh

AU - Klüppelberg, Claudia

AU - Maller, Ross

PY - 2010

Y1 - 2010

UR - https://www.scopus.com/pages/publications/77955934080

U2 - 10.3905/JWM.2010.13.1.091

DO - 10.3905/JWM.2010.13.1.091

M3 - Article

AN - SCOPUS:77955934080

SN - 1534-7524

VL - 13

SP - 91

EP - 102

JO - Journal of Wealth Management

JF - Journal of Wealth Management

IS - 1

ER -