Maximize the Sharpe ratio and minimize a VaR

Durand, Robert; Jafarpour, H.; kluppelberg, C.; Maller, R.

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Authors

Durand, Robert

Jafarpour, H.

kluppelberg, C.

Maller, R.

Date

2010

Type

Journal Article

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Citation

Durand, R. and Jafarpour, H. and kluppelberg, C. and Maller, R. 2010. Maximize the Sharpe ratio and minimize a VaR. The Journal Of Wealth Management. 13 (1): pp. 91-102.

Source Title

The Journal Of Wealth Management