A model of optimal dynamic asset allocation in a Value-at-Risk framework

Author: Wang Ching-Ping   Shyu David   Liao Y. Chris   Chen Ming-Chi   Chen Miao-Ling  

Publisher: Inderscience Publishers

ISSN: 1466-8297

Source: International Journal of Risk Assessment and Management, Vol.4, Iss.4, 2004-05, pp. : 301-309

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Abstract