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01-069/2 - Optimal Portfolio Allocation under a Probabilistic Risk Constraint and the Incentives for Financial Innovation


  • Authors
    Jón Daníelsson, London School of Economics; Bjørn N. Jorgensen, Harvard Business School; Casper G. de Vries, Erasmus University Rotterdam; Xiaogang Yang, Chinese Academy of Sciences
  • Publication date
    July 19, 2001
  • Keywords
    Portfolio Optimization; Value-at-Risk; NP-hard
  • JEL
    G11