Jorion p 2000 value at risk 2nd edition mcgraw hill

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Jorion, P., 2000. Value at Risk , 2nd edition. (McGraw-Hill, New York). Lai, M.S. and M.J. Seiler, 2001. Is your portfolio overweighted? Know when to say when, Journal of Wealth Management 3, 19 28. Leibowitz, M.L. and R.D. Henriksson, 1989. Portfolio optimization with shortfall constraints: A confidence-limit approach to managing downside risk, Financial Analysts Journal 45, 34 41. Leibowitz, M.L., L.N. Bader, and S. Kogelman, 1996. Return Targets and Shortfall Risks: Studies in Strategic Asset Allocation (Irwin Professional Publishing, Chicago). Levy, H. and M. Sarnat, 1972. Safety First: An expected utility principle, Journal of Financial and Quan- titative Analysis 7, 1829 1834. Milevsky, M.A., 2003. Space-time diversification: Which dimension is better? Journal of Risk 5, 45 71. Newbould, G.D. and P.S. Poon, 1993. The minimum number of stocks needed for diversification, Financial Practice and Education 3, 85 87. Newbould, G.D. and P.S. Poon, 1996. Portfolio risk, portfolio performance, and the individual investor, Journal of Investing 5, 72 78. Roy, A.D., 1952. Safety First and the holding of assets, Econometrica 20, 431 449. Sharpe, W.F., 1964. Capital asset prices: A theory of market equilibrium under conditions of risk, Journal of Finance 19, 425 442. Shawky, H.A. and D.M. Smith, 2005. Optimal number of stock holdings in mutual fund portfolios based on market performance, The Financial Review 40, 481 495. Sortino, F. and H.J. Forsey, 1996. On the use and misuse of downside risk, Journal of Portfolio Management 22, 35 43. Statman, M., 1987. How many stocks make a diversified portfolio? Journal of Financial and Quantitative Analysis 22, 353 364. Statman, M., 2004. The diversification puzzle, Financial Analysts Journal 60, 44 53.
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