Maximize the sharpe ratio and minimize a VaR

Citation

Durand, R., Jafarpour, H., Klueppelberg, C., Maller, R 2010, 'Maximize the Sharpe ratio and minimize a VaR', Journal of Wealth Management, vol. 13, no. 1, pp. 91-102.

Year

2010

ANU Authors

Field of Research

  • Finance

Updated:  18 October 2019 / Responsible Officer:  Director (Research Services Division) / Page Contact:  Researchers