A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model

Gordon J. Alexander and Alexandre M. Baptista

Management Science
Vol. 50, No. 9 (Sep., 2004), pp. 1261-1273
(article consists of 13 pages)
Published by: INFORMS

Stable URL: http://www.jstor.org/stable/30046232