Article ID Journal Published Year Pages File Type
5089849 Journal of Banking & Finance 2012 15 Pages PDF
Abstract
► We propose a portfolio selection approach to optimize capital requirements. ► The policy finds the optimal balance between VaR measures and VaR violations. ► We confirm empirically that the proposed approach outperform competing ones.
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Authors
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