Optimal portfolio selection in a Value-at-Risk framework

B-Tier

Journal: Journal of Banking & Finance

Year: 2001

Volume: 25

Issue: 9

Pages: 1789-1804

Authors (3)

Campbell, Rachel (not in RePEc) Huisman, Ronald (Erasmus Universiteit Rotterdam) Koedijk, Kees (not in RePEc)

Score contribution per author:

0.670 = (α=2.01 / 3 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count