Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5089849 | Journal of Banking & Finance | 2012 | 15 Pages |
Abstract
⺠We propose a portfolio selection approach to optimize capital requirements. ⺠The policy finds the optimal balance between VaR measures and VaR violations. ⺠We confirm empirically that the proposed approach outperform competing ones.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
André A.P. Santos, Francisco J. Nogales, Esther Ruiz, Dick Van Dijk,