| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5089760 | Journal of Banking & Finance | 2012 | 12 Pages |
Abstract
⺠We focus on portfolio frontiers in presence of TEV and VaR restrictions. ⺠We provide analytical solutions for the intersections between portfolio frontiers. ⺠We introduce a new portfolio frontier: the Fixed VaR-TEV Frontier (FVTF). ⺠Maximum TEV and maximum VaR are compatible when the related frontiers intersect. ⺠We show that a trade off between absolute and relative risk arises.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Giulio Palomba, Luca Riccetti,